Modelling the Leverage Effect and Volatility Persistence in the East African Securities Exchanges During Global Shocks
Loading...
Date
2023
Authors
Kengere, Herman Angwenyi
Journal Title
Journal ISSN
Volume Title
Publisher
EJEFR
Abstract
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.
Description
Article
Keywords
leverage effect, volatility persistence, E-GARCH
Citation
Kengere, H. A. (2023). MODELLING THE LEVERAGE EFFECT AND VOLATILITY PERSISTENCE IN THE EAST AFRICAN SECURITIES EXCHANGES DURING GLOBAL SHOCKS. European Journal of Economic and Financial Research, 7(1).