MODELLING THE LEVERAGE EFFECT AND VOLATILITY PERSISTENCE IN THE EAST AFRICAN SECURITIES EXCHANGES DURING GLOBAL SHOCKS
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https://doi.org/10.46827/ejefr.v7i1.1454キーワード:
leverage effect、 volatility persistence、 E-GARCH要旨
The study examines volatility dynamics during the 2007/09 global financial crisis in three main East African Exchanges; Nairobi Securities Exchange, Kenya, Uganda Securities Exchange, Uganda and Dar-es-Salaam Stock Exchange, Tanzania. A modified Asymmetric Generalized Autoregressive Conditional Heteroscedastic (E-GARCH 4,1) model was used to test leverage effects and volatility persistence in the markets and the USA as the ground zero market. The data consisted of daily closing indices covering 2006-2010. The period was divided into three phases before the crisis, during and after the crisis. The study found that the leverage effect was eminent in the Ugandan and Tanzania markets. The effect is more prevalent in the Ugandan market in all three phases of the crisis, and the pre-crisis phase for the Tanzania market but absent in the Kenyan market in all the phases. Explosive volatility was observed in the Kenyan and Ugandan markets meaning that volatility takes a longer period to decay off in these markets.
JEL: E44; G10; G18
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