Browsing Electronic Theses and Dissertations (ETDs) by Subject "ARCH"

Now showing items 1-2 of 2

    • 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 ...