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Browsing Economic and Management Sciences by Subject "GARCH models"
Now showing items 1-5 of 5
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(Taylor and Francis, 2020)This study examines the very short, short, medium and long-term forecasting ability of different univariate GARCH models of United Kingdom (UK)'s interest rate volatility, using a long span monthly data from May 1836 to ...
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(University of Pretoria, 2022)A reverse event study approach is used to investigate how the South African sovereign bond yield curve react to headline news. Abnormal return dates in the zero-coupon yields are identified using GARCH models on the daily ...
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(Elsevier, 2018-09)Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the time-varying ...
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(University of Pretoria, Department of Economics, 2010-12)This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests and daily returns for the Johannesburg Stock Exchange (JSE) All Share ...
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(Elsevier, 2012-11)This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests applied to daily returns of the Johannesburg Stock Exchange (JSE) All ...
Now showing items 1-5 of 5