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- W2605499504 abstract "Prediction of volatility is to a larger extent anchored on the properties of a volatility time series i.e. mean-reversion or random-walk. The consistency of mean-reversion or random-walk on the ZSE stock price and return volatility remain unexplored. This study therefore attempts to investigate the behavior of ZSE stock price and return volatility using the class of Generalised Autoregressive Conditional heteroskedasticity (GARCH) models under a no distribution assumption. Stock price data has been differenced once and tested for stationarity using the Augmented Dickey Fuller test and the PP test. An appropriate GARCH (2.1) t model has been selected using Akaike and Schwarz Information criteria. Testing for mean-reversion and random-walk on stock price and return volatilities, the study concludes that both time series tend to mean-revert to their long-run averages with stock return volatility reverting faster than stock price volatility. We therefore recommend the need for dealing with liquidity challenges, ZSE automation as well as use of volatility as a leading indicator." @default.
- W2605499504 created "2017-04-28" @default.
- W2605499504 creator A5045135091 @default.
- W2605499504 date "2017-04-05" @default.
- W2605499504 modified "2023-09-28" @default.
- W2605499504 title "Volatility Mean-Reversion on the Zimbabwe Stock Exchange (ZSE)" @default.
- W2605499504 hasPublicationYear "2017" @default.
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