Modelling stock return volatility dynamics in selected African markets
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DOI: 10.1016/j.econmod.2014.11.008
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- Daniel King & Ferdi Botha, 2014. "Modelling Stock Return Volatility Dynamics in Selected African Markets," Working Papers 410, Economic Research Southern Africa.
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Cited by:
- Lumengo Bonga-Bonga & Maphelane Palesa Phume, 2022.
"Return and volatility spillovers between South African and Nigerian equity markets,"
African Journal of Economic and Management Studies, Emerald Group Publishing Limited, vol. 13(2), pages 205-218, January.
- Phume, Maphelane Palesa & Bonga-Bonga, Lumengo, 2018. "Return and volatility spillovers between South African and Nigerian equity markets," MPRA Paper 87638, University Library of Munich, Germany.
- Bala A. Dahiru & Pam W. Jim & Kalu N. Nwonyuku, 2017. "Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach," Economics Bulletin, AccessEcon, vol. 37(4), pages 2394-2412.
- Liu, De-Chih & Liu, Chih-Yun, 2016. "The source of stock return fluctuation in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 77-88.
- M. MALLIKARJUNA & R. Prabhakara RAO, 2019. "Volatility experience of major world stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(621), W), pages 35-52, Winter.
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More about this item
Keywords
Stock returns; Volatility; GARCH; Africa;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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