Volatility dynamics and corporate strategy: A statistical analysis of private equity investments in Egypt

This study examines the statistical properties and volatility dynamics of listed private equity (LPE) investments in Egypt from 2010 to 2020, focusing on their integration into corporate and business strategies. Advanced generalized autoregressive conditional heteroskedasticity (GARCH) family models uncover key patterns such as volatility clustering, leptokurtic distributions, and minimal long-term volatility asymmetries. While traditional valuation methods often underperform in fragmented markets (Damodaran, 2018), these advanced models effectively capture nuanced behaviors, emphasizing the predominance of internal market dynamics over external macroeconomic factors like gross domestic product (GDP) and inflation. The study highlights the Egyptian market’s evidence of volatility linked to jump diffusions, with diagnostic tests confirming that internal dynamics significantly influence private equity investments more than external factors. Despite differing economic systems, no long-term volatility asymmetries were detected, indicating uniform market responses to shocks. These findings underscore the importance of integrating LPE investments into strategic frameworks, enabling businesses to optimize portfolio performance and enhance resilience, ultimately contributing to market stability (Brown & Kaplan, 2019). Policy implications include enhancing market transparency and adopting advanced modeling techniques to stabilize private equity markets. Future research should explore emerging technologies like artificial intelligence (AI) and blockchain and extend analyses to other emerging markets to uncover broader insights into portfolio management and risk mitigation.