Volatility and Equity Returns in South Africa
The research explores the connection between the South African volatility index and Johannesburg Stock Exchange listed stock indices, concluding that the TGARCH model is best for modeling volatility and the SAVI has a significant positive relationship with all selected indices.
Featured in No. 36 on 7 Feb 2024 · on release day
- Released
- 7 Feb 2024
- First featured
- No. 36 · 7 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 26
- Identifier
- RePEc:ids:afasfa:v:14:y:2024:i:1:p:83-99
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