Browsing Working Papers (Economics) by Subject "Out-of-sample tests"

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South African stock return predictability in the context of data mining : the role of financial variables and international stock returns

Gupta, Rangan; Modise, Mampho P. (University of Pretoria, Department of Economics, 2010-12)

In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns using a number of financial variables, based on monthly data with an in-sample period covering 1990:01 ...
Structural breaks and GARCH models of stock return volatility : the case of South Africa

Gupta, Rangan; Mwabutwa, Chance; Babikir, Ali; Owusu-Sekyere, Emmanuel (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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