Browsing by Subject "ARCH"

Now showing items 1-3 of 3

    • Is the South African exchange rate volatile? Application of the arch framework 

      Mokoma, Thato Julius; Moroke, Ntebogang Dinah (Virtus Interpress, 2015)
      This study applies the autoregressive conditional heteroscedasticity (ARCH) model to forecast exchange rate volatility in South Africa for the period 1990Q1 to 2014Q2. The ARCH (1) and ARCH (2) models were constructed using ...

    • Modeling return volatility on the JSE sectors 

      Makoko, Katleho (North-West University (South Africa). Vanderbijlpark Campus, 2019)
      Modelling and forecasting volatility are essential functions in different fields of finance, particularly in the quantitative risk management departments of banks and insurance companies. Volatility within the stock market ...

    • Modelling the oil price volatility and macroeconomic variables in South Africa using MGARCH Models 

      Sekati, Boitumelo Nnoi Yolanda (North-West University (South Africa), 2020)
      This study modelled the oil price volatility and macroeconomic variables in South Africa using Multivariate GARCH models. The data used in the study consists of 114 observations ranging from 1990 Q1 to 2018 Q2. The study ...