(a) EGX 30
(b) MOD1 ()
(c) MOD2 ()
Figure 2: The returns of (a) the EGX 30, (b) the MOD1, and (c) MOD2. The panels give evidence for excessive prices volatility and clustered volatility properties. The grey rectangles exemplify periods of high volatility. The clustered volatility property can be seen from the presence of sustained periods of high or low volatility.