Researcher: Wandile Nhlapho, University of Venda
Supervisor: Dr Jean-Claude Ndogmo, University of Venda
The study compares the performance of the ARCH (1) and GARCH (1,1) models in estimating and forecasting the volatility of Telkom share prices. The Telkom shares are estimated using daily data and the above-mentioned volatility models. We estimate our models using the normal (Gaussian), student t, and generalized error (GED) distributions to determine which distribution best fits our models. Log-likelihood, Schwarz information criterion, Hannan-Quinn information criterion, and Akaike information criterion were utilized to evaluate those distributions. We forecasted our models using the distribution with the lowest Akaike, Schwarz, Hannan-Quinn, and log-likelihood values. Theil’s inequality coefficient, mean absolute error, and root squared mean error are three forecasting evaluation measures used to assess the model’s forecasting performance.
