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Research Paper | Business and Finance | Volume 12 Issue 3, March 2023 | Pages: 1632 - 1640 | Cameroon
Measuring Stock Market Volatility in a Less Developed Economy: Evidence from Cameroon
Abstract: Over the past decades, the importance of understanding the volatility of stock markets has received significant attention among researchers and analysts. Since the stock market crash of 19th October 1987, considerable attention has been given to stock market volatility especially in emerging and less developed countries. This study was carried out to determine the causes of stock market volatility and to quantify the volatility of the stock market in Cameroon using the GARCH model. Data was collected on the daily stock prices of selected quoted companies of the stock market in Cameroon from the 2ndof August 2019 to the 17th of February 2023 and analysed using Eviews. The results show that both the ARCH and the GARCH parameters were highly significant with p ? values of 0.0000. The sum of the ARCH effect and the GARCH effect was closed to one, implying that any shock experienced on the conditional variance will be highly persistent. The study concludes that the GARCH model is a better forecasting model of volatility in the stock market in Cameroon than the ARCH model.
Keywords: GARCH Model, Stock Market Volatility, Less Developed Economy
How to Cite?: Robert Tayong Takwi, "Measuring Stock Market Volatility in a Less Developed Economy: Evidence from Cameroon", Volume 12 Issue 3, March 2023, International Journal of Science and Research (IJSR), Pages: 1632-1640, https://www.ijsr.net/getabstract.php?paperid=SR23228143007, DOI: https://dx.doi.org/10.21275/SR23228143007