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

dc.contributor.advisorVan Niekerk, F.D.
dc.contributor.postgraduateFerreira, M.G.
dc.date.accessioned2022-01-12T06:00:24Z
dc.date.available2022-01-12T06:00:24Z
dc.date.created19/8/2021
dc.date.issued1999
dc.descriptionDissertation MSc)--University of Pretoria, 1999.
dc.description.abstractWe 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.availabilityUnrestricted
dc.description.degreeMSc
dc.description.departmentMathematics and Applied Mathematics
dc.identifier.citation*
dc.identifier.urihttp://hdl.handle.net/2263/83220
dc.language.isoen
dc.publisherUniversity 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.subjectUCTD
dc.subjectHeteroscedastic volatility
dc.subjectSouth African financial markets
dc.titleFinancial time series with heteroscedastic volatility in the South African financial markets
dc.typeDissertation

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