Conditional volatility of the most active shares of Casablanca stock exchange, 1997-2003

• EL BOUHADI, Abdelhamid ^[1]
  1. [1] Cadi Ayyad University of Marrakech
• Localización: Applied econometrics and international development, ISSN 1578-4487, Vol. 6, Nº. 3, 2006, págs. 151-159
• Idioma: inglés
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• Resumen

  • Volatility plays an important role in the explanation of prices of securities and its own derivative instruments. The Casablanca stock exchange constitutes a meadow emerging market of MEA zone for which the volatility problem should not be underestimated because the order book counterparty does usually not exist. The introduction of the electronic system in the 1998s allowed continuous quotation to restricted number of securities which the liquidity it doesn’t seem even so important. We test in this paper the conditional volatility of securities considered so active in the market.

    These securities are resulted from the MADEX index. Our results show a certain asymmetric volatility in the major studied cases. The asymmetric GARCH use allows us to describe rough prices variations provoked by large trading volume on the block market. These models throw back quadratic specification of the conditional variance lauded by GARCH standard models.