Volatility modeling, persistence and half-life measures of selected financial equities on the Ghana stock exchange

Abstract

In developing equity market like Ghana, positive and negative shocks have different impacts on volatility. In this paper, the volatility of some financial equities is modeled using univariate GARCH family of models where the persistence and half-life measure are examined in details. Secondary data from the Ghana Stock Exchange spanning 2019 to 2024 is used. The principal component analysis is employed in selecting equities that best describe each sector. The selected equities are modeled using the GARCH family of models. The results showed that, the exponential GARCH with Gaussian innovations is the best model. Also, there is evidence of high volatility persistence and leverage effects, particularly for the threshold GARCH model. The half-life measure of the selected equities show that, volatility shocks tend to fade quickly giving an indication of short term memory.