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GARCH

A financial stress index for South Africa: A time-varying correlation approach

Theshne Kisten
This paper develops a new index of financial market stress for South Africa (SAFSI) over the period 1995-2017, that has the advantage of capturing the interconnectedness of financial markets as well as enabling each indicator to be assessed in terms of its systemic importance. The index represents...
Nov 2019
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Modelling exchange rate volatility dynamics: Empirical evidence from South Africa

Cyril May and Greg Farrell
In this paper, we extend the literature on modelling exchange rate volatility in South Africa by estimating a range of models, including some that attempt to account for structural breaks and long memory. We examine the key nominal exchange rates of the South African rand and replicate common...
Aug 2017
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Institutionalisation of Derivatives Trading and Economic Growth: Evidence from South Africa

Audrey Nguema Bekale, Erika Botha and Jacobus Vermeulen
The purpose of this paper is to foresee the likely developmental impact of the proposed institutionalisation of derivatives trading in sub-Saharan Africa(n) (SSA) countries. The case of South Africa is emphasised to illustrate how domestic derivatives trading could influence economic growth and...
Mar 2015
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Modelling Stock Return Volatility Dynamics in Selected African Markets

Daniel King and Ferdi Botha
This paper examines whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected...
Jan 2014
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Macroeconomic uncertainty and emerging market stock market volatility: The case for South Africa

Z. Chinzara
This paper analyses how systematic risk emanating from the macro-economy is transmitted into stock market volatility using augmented autoregressive GARCH (AR-GARCH) and Vector autoregression models. Also examined is whether the relationship between the two is bidirectional. By imposing dummies for...
Sep 2010
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