Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions

@inproceedings{Janabi2010ModelingTV,
  title={Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions},
  author={Mazin A. M. Al Janabi and Abdulnasser Hatemi-J and Manuchehr Irandoust},
  year={2010}
}
The aim of this study is to investigate empirically the underlying nexus of stock market returns and volatility in the Gulf Cooperation Council (GCC) countries and Middle East and North Africa (MENA) region by using the GARCH-M model. We find that volatility is time-varying in all countries, which indicates substantial variation in the degree of risk across time. However, we do not find empirical support that this time-varying volatility significantly explains expected returns, except in the… CONTINUE READING