Known as one of the key risk measures, volatility has attracted the
interest of many researchers. These aim, in particular, to estimate and explain
its evolution over time. Several results reveal that volatility is
characterized, among other things, by its asymmetric variations (Chordia and
Goyal 2006, Mele 2007, Shamila et al 2009, etc.). In this article, we seek to
analyze and predict the volatility of the BRVM through these two indices. The
data used are daily and start from the period from 04 January 2010 to 25 May
2016. We use three models of the GARCH family with asymmetric volatilities with
different density functions. The results show a presence of asymmetry in the
market yields. Also testifying to the presence of leverage in this market. The
EGARCH model presents the best results in the analysis of the dynamics of
market volatility behavior.
JEL classification numbers: C22, C53, G17
Keywords: Stock Market Volatility, GARCH models, Asymmetric
Variation, Leverage, Forecasting.