Volatility Dynamics in Equity Returns : A Multi-GARCH Approach

In this paper, volatility of stock returns in Ghana is modeled from July 4, 2011 to October 3, 2014 using both symmetric and asymmetric univariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models under the normal Gaussian distribution assumption. Results show that equity returns exhibit stylized characteristics such as volatility clustering, peakedness, and leverage effect found with most advanced stock markets. Further, results show that shocks to the Ghana equity market are usually transient with minimal instances of persistence. It is further confirmed that EGARCH (1, 1) is superior in modeling the volatility of returns on the equity market for the studied period