Predictability of Return Volatility Across Different Emerging Capital Markets: Evidence from Asia

IF 0.6 Q4 ECONOMICS South Asian Journal of Macroeconomics and Public Finance Pub Date : 2017-10-23 DOI:10.1177/2277978717727172

T. Vidanage, F. Carmignani, T. Singh

引用次数: 2

Abstract

The importance of return volatility forecasts in policy formation and investment decision-making in emerging countries is growing considerably. However, from an operational perspective, there is no consensus in the literature on which econometric model has the best forecasting performance. To shed new light on this issue, this article compares forecasting models for a selected group of emerging Asian economies: India, Malaysia, Pakistan, Sri Lanka, Singapore and Thailand. Model’s performance is tested using both in-sample and out-of-sample forecasting methods. It is found that a relatively simple asymmetric EGARCH model clearly outperforms other models. JEL Classification: G12, G17

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不同新兴资本市场收益波动的可预测性：来自亚洲的证据

回报波动预测在新兴国家政策制定和投资决策中的重要性正在显著提高。然而，从操作的角度来看，关于哪种计量经济模型的预测性能最好，文献中没有达成共识。为了对这个问题有新的认识，本文比较了一组选定的亚洲新兴经济体的预测模型：印度、马来西亚、巴基斯坦、斯里兰卡、新加坡和泰国。使用样本内和样本外预测方法对模型的性能进行了测试。研究发现，一个相对简单的非对称EGARCH模型明显优于其他模型。JEL分类：G12、G17

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

South Asian Journal of Macroeconomics and Public Finance ECONOMICS-

CiteScore

2.10

自引率

11.10%

发文量

期刊介绍： The purpose of the Journal is to publish (in English language) peer-reviewed articles, reviews and scholarly comments on issues relating to contemporary global macroeconomics and public finance by which is understood: The Journal is for all professionals concerned with contemporary Macroeconomics and Public Finance and is a forum for all views on related subjects. The Editorial Board welcomes articles of current interest on research and application on the areas mentioned above. The Journal will be international in the sense that it seeks research papers from authors with an international reputation and articles that are of interest to an international audience. In pursuit of the above, the journal shall: a. draw on and include high quality work from the international community of scholars including those in the major countries of Asia, Europe, Asia Pacific, the United States, other parts of the Americas and elsewhere with due representation for considerations of the readership. The Journal shall include work representing the major areas of interest in contemporary research on Macroeconomics and Public Finance and on a wide range of issues covering macro- economics, tax and fiscal issues, banking and finance, international trade, labour economics, computational and mathematical methods, etc. The Journal would particularly engage papers on pure and applied economic theory and econometric methods. b. avoid bias in favour of the interests of particular schools or directions of research or particular political or narrow disciplinary objectives to the exclusion of others. c. ensure that articles are written in a terminology and style which makes them intelligible, not merely within the context of a particular discipline or abstract mode, but across the domain of relevant disciplines.