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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/9131

Title: Volatility assessment and Var (P) Model for listed insurance companies stock returns, an overview of Ghana stock exchange market
Authors: Kyereh, Bright
Issue Date: 6-Oct-2016
Abstract: The study investigated the presence of volatility in two insurance companies listed on the Ghana Stock Exchange as well as model the interdependencies between these two insurance companies. In checking the presence of volatility, several ARIMA (p,d,q) models were fitted separately to the log return series of the two companies and the best model selected using the AIC and BIC selection criterion. Using the selected ARIMA (p,d,q) models, the residuals of the model were obtained and presence of ARCH effects evaluated using the ARCH-LM test for each company. The ARCH-LM test revealed that there were no ARCH effects. The ARIMA (1,0,2) model was thus used in forecasting the returns of EGL whereas the ARIMA (1,0,1) model was used in forecasting returns of SIC. Finally, VAR (p) models were fitted to the combined series to check for interdependencies. Using the AIC and BIC, the VAR (7) model residuals were found to satisfy the null hypothesis of no serial correlation between the stocks, thus was selected as the best model. Investment with SIC and or EGL is strongly recommended since volatility is absent in their stock prices. The Ghana Stock Market is still developing, as a consequence management of these two listed companies is advised to put in place measures that will increase the frequency of trading these stocks.
Description: A thesis submitted to The Department of Mathematics, Kwame Nkrumah University of Science and technology in partial fulfilment of the requirements for the degree of Msc. Actuarial Science, 2016
URI: http://hdl.handle.net/123456789/9131
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