دراسات إقتصادية
Volume 26, Numéro 1, Pages 154-170
2026-06-08

Paradoxical Effects Of Financial Reforms On Capital Market Volatility In Algeria: Evidence From Conditional Volatility Modeling



Authors : Dermechi Feriel . Zakane Ahmed .

Abstract

This study examines volatility dynamics in the Algerian capital market over the quarterly period 1987Q1–2025Q3 using a GARCH (Generalized Autoregressive Conditional Heteroskedasticity) framework and distinguishes between two sub-periods. The estimation results indicate a clear change in the behaviour of conditional variance across periods. In the later phase, the coefficient associated with past shocks increases, suggesting a stronger sensitivity of volatility to new information and market innovations. At the same time, the persistence parameter remains relatively high but shows a slight decline, indicating that volatility is increasingly influenced by recent shocks rather than long-term memory. Additionally, the variance equation's constant term increases, suggesting a heightened level of underlying volatility. Overall, the results indicate that the reform period was associated with changes in the transmission of new information, highlighting the importance of a gradual regulatory framework for financial market development.

Keywords

capital market ; GARCH ; Conditional variance ; volatility to new information ; reform period

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