Keyword: GARCH

A financial stress index for South Africa: A time-varying correlation approach
This paper develops a new index of financial market stress for Sout...
14 November 2019
Working Paper
Modelling exchange rate volatility dynamics: Empirical evidence from South Africa
In this paper, we extend the literature on modelling exchange rate ...
30 August 2017
Working Paper
The Determinants of Exchange Rate Volatility in South Africa
This paper investigates the determinants of exchange rate volatilit...
12 May 2016
Policy Brief
Institutionalisation of Derivatives Trading and Economic Growth: Evidence from South Africa
The purpose of this paper is to foresee the likely developmental im...
2 March 2015
Working Paper
Modelling Stock Return Volatility Dynamics in Selected African Markets
This paper examines whether accounting for structural changes in th...
21 January 2014
Working Paper
Macroeconomic uncertainty and emerging market stock market volatility: The case for South Africa
This paper analyses how systematic risk emanating from the macro-ec...
23 September 2012
Working Paper