Financial time series with heteroscedastic volatility in the South African financial markets

Ferreira, M.G.

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dc.contributor.advisor	Van Niekerk, F.D.
dc.contributor.postgraduate	Ferreira, M.G.
dc.date.accessioned	2022-01-12T06:00:24Z
dc.date.available	2022-01-12T06:00:24Z
dc.date.created	19/8/2021
dc.date.issued	1999
dc.description	Dissertation MSc)--University of Pretoria, 1999.
dc.description.abstract	We investigate the issues surrounding linear time series models. Our specific interest is in stationary time series models and difference equations. We derive an analytical expression for the inverse of the matrix F characterising such difference equations using Vandermonde's matrix theory. We use these results to discuss the homoscedastic ARMA and heteroscedastic ARCH and GARCH type time series models. Finally we use the ARCH and GARCH type models to construct various asymmetric news impact curves for South African financial time series.
dc.description.availability	Unrestricted
dc.description.degree	MSc
dc.description.department	Mathematics and Applied Mathematics
dc.identifier.citation	*
dc.identifier.uri	http://hdl.handle.net/2263/83220
dc.language.iso	en
dc.publisher	University of Pretoria
dc.rights	© 2021 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.
dc.subject	UCTD
dc.subject	Heteroscedastic volatility
dc.subject	South African financial markets
dc.title	Financial time series with heteroscedastic volatility in the South African financial markets
dc.type	Dissertation