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Volatility Spillovers across South African Asset Classes during Domestic and Foreign Financial Crises

Andrew S. Duncan and Alain Kabundi
This paper studies domestic volatility transmission in an emerging economy. Daily volatility spillover indices, relating to South African (SA) currencies, bonds and equities, are estimated using variance decompositions from a generalised vector autoregressive (GVAR) model (Pesaran and Shin 1998)...
Feb 2011
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Dynamic Returns Linkages and Volatility Transmission between South African and World Major Stock Markets

Z. Chinzara and M.J. Aziakpono
This paper analyses returns and volatility linkages between the South African (SA) equity market and the world major equity markets using daily data for the period 199-2007. Also analysed is the nature of volatility, the long term trend of volatility and the risk-premium hypothesis. The univariate...
Sep 2009
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