IDEAS home Printed from https://ideas.repec.org/r/pre/wpaper/201030.html
   My bibliography  Save this item

Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  2. Salisu, Afees A. & Vo, Xuan Vinh & Lucey, Brian, 2021. "Gold and US sectoral stocks during COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 57(C).
  3. Cakan Esin & Rangan Gupta, 2017. "Does the US. macroeconomic news make the South African stock market riskier?," Journal of Developing Areas, Tennessee State University, College of Business, vol. 51(4), pages 17-27, October-D.
  4. Kolte, Ashutosh & Roy, Jewel Kumar & Vasa, László, 2023. "The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach," Resources Policy, Elsevier, vol. 80(C).
  5. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014. "Predicting BRICS stock returns using ARFIMA models," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
  6. Ye Fan & Zhicheng Zhang & Xiaoli Zhao & Haitao Yin, 2018. "Interaction between Industrial Policy and Stock Price Volatility: Evidence from China’s Power Market Reform," Sustainability, MDPI, vol. 10(6), pages 1-19, May.
  7. Gabriel Rodríguez & Junior A. Ojeda Cunya & José Carlos Gonzáles Tanaka, 2019. "An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 18(2), pages 107-123, June.
  8. King, Daniel & Botha, Ferdi, 2015. "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, vol. 45(C), pages 50-73.
  9. Reza, Md. Ridwan & Masih, Mansur, 2017. "Regime switching behavior of volatilities of Islamic equities: evidence from Markov- Switching GARCH models for some selected broad based indices," MPRA Paper 82123, University Library of Munich, Germany.
  10. Tao Xiong & Yukun Bao & Zhongyi Hu, 2014. "Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting," Papers 1401.1916, arXiv.org.
  11. Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014. "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, vol. 37(C), pages 518-530.
  12. Sarasty, Oscar & Amin, Modhurima & Badruddoza, Syed, 2022. "Impact of the COVID-19 pandemic on agricultural commodity prices," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322240, Agricultural and Applied Economics Association.
  13. Ezzat, Hassan, 2013. "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper 51465, University Library of Munich, Germany.
  14. Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2018. "The Relationship Between Stock Market Volatility And Trading Volume: Evidence From South Africa," Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(1), pages 99-114, January-M.
  15. 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.
  16. Afees A. Salisu & Kingsley Obiora, 2021. "COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
  17. Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017. "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, vol. 66(C), pages 523-534.
  18. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2018. "Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?," Working Papers 201879, University of Pretoria, Department of Economics.
  19. Malay K. Dey & Chaoyan Wang, 2022. "Asymmetric volume volatility causality in dual listing H-shares," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 419-428, September.
  20. Rangan Gupta & Mark Wohar, 2019. "The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 138-146.
  21. Salisu, Afees A. & Gupta, Rangan, 2021. "Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach," Global Finance Journal, Elsevier, vol. 48(C).
  22. Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta & Riza Demirer, 2022. "Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2146-2152, April.
  23. Muhammad Ahsanuddin & Tayyab Raza Fraz & Samreen Fatima, 2019. "Studying the Volatility of Pakistan Stock Exchange and Shanghai Stock Exchange Markets in the Light of CPEC: An Application of GARCH and EGARCH Modelling," International Journal of Sciences, Office ijSciences, vol. 8(03), pages 125-132, March.
  24. Zhang, Bo & Wang, Jun & Fang, Wen, 2015. "Volatility behavior of visibility graph EMD financial time series from Ising interacting system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 301-314.
  25. Lamine Diane & Pradeep Brijlal, 2024. "Forecasting Stock Market Realized Volatility using Random Forest and Artificial Neural Network in South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 14(2), pages 5-14, March.
  26. Zhang, Heng-Guo & Su, Chi-Wei & Song, Yan & Qiu, Shuqi & Xiao, Ran & Su, Fei, 2017. "Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model," Economic Modelling, Elsevier, vol. 67(C), pages 355-367.
  27. Kejin Wu & Sayar Karmakar & Rangan Gupta & Christian Pierdzioch, 2023. "Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa," Working Papers 202326, University of Pretoria, Department of Economics.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.