Economics, Econometrics and Finance
7 years ago

IGARCH model beats EWMA in forecasting Moroccan stock market volatility!

Journal of Insurance and Financial Management
Forecasting the volatility of the Moroccan financial market: A comparison between the models of GARCH family and EWMA
Ouael El Jebari, Abdelati Hakmaoui

Paper Summary

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The article compares different models to predict how the Moroccan stock market will change. They looked at GARCH models and EWMA model to see which one is better at forecasting market volatility. The data they used covered daily returns from 1993 to 2016. The results show that the IGARCH model is the most accurate in predicting market volatility, beating the EWMA model. This information could be useful for hedge funds, portfolio managers, and investors in Morocco.