Modelling and forecasting stock market volatility is a critical issue in various fields
of finance and economics. Forecasting volatility in stock markets find extensive
use in portfolio management, risk management and option pricing. The primary
objective of this study was to describe the volatility in the Johannesburg Stock
Exchange (JSE) index using univariate and multivariate GARCH models.
We used daily log-returns of the JSE index over the period 6 June 1995 to 30
June 2012. In the univariate GARCH modelling, both asymmetric and symmetric
GARCH models were employed. We investigated volatility in the market using
the simple GARCH, GJR-GARCH, EGARCH and APARCH models assuming
di erent distributional assumptions in the error terms. The study indicated that
the volatility in the residuals and the leverage effect was present in the JSE index
returns.
Secondly, we explored the dynamics of the correlation between the JSE index,
FTSE-100 and NASDAQ-100 index on the basis of weekly returns over the period 6
June 1995 to 30 June 2012. The DCC-GARCH (1,1) model was employed to study
the correlation dynamics. These results suggested that the correlation between the
JSE index and the other two indices varied over time. / Thesis (M.Sc.)-University of KwaZulu-Natal, Pietermaritzburg, 2013.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:ukzn/oai:http://researchspace.ukzn.ac.za:10413/10232 |
| Date | 17 December 2013 |
| Creators | Mzamane, Tsepang Patrick. |
| Contributors | Achia, Thomas Noel Ochieng., Mwambi, Henry G. |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | English |
| Type | Thesis |
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