Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa

We employ quarterly data from a panel of 27 countries to test whether stock returns as useful in predicting growth*. Unlike previous research, our approach allows for the

From the empirical results, we know that the Hong Kong’s stock price return volatility may be constructed on the AIGARCH (1, 1) model.. Its estimate result is stated in

LM test shows significant results across the three return series in table 6. Therefore, we reject the null hypothesis of no ARCH effects. that capture the volatility effects