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• W1584328194 abstract "This paper investigates the impact of price limits on volatility dynamics in the Egyptian Stock Exchange. A variety of mean and variance specifications in GARCH type models (GARCH, EGARCH, GJR, and APARCH), and four different error distributions (Normal, Student-t, GED, and Skewed-t) are utilized. Results from examining a split sample suggest significant changes in the time varying volatility process. In-sample results, prior to the imposition of price limits exhibit leptokurtosis, yet showing no sign of the widely cited leverage effect. In-sample results, after the imposition of price limits display both leptokurtosis and the leverage effect. Out-of-sample forecasts depict the leverage effects, when present, but provide conflicting results regarding the distribution." @default.
• W1584328194 created "2016-06-24" @default.
• W1584328194 creator A5063814252 @default.
• W1584328194 date "2003-03-04" @default.
• W1584328194 modified "2023-09-27" @default.
• W1584328194 title "Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits" @default.
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• W1584328194 hasPublicationYear "2003" @default.
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