MODELING SOUTH AFRICAN STOCK MARKET VOLATILITY USING UNIVARIATE SYMMETRIC AND ASYMMETRIC GARCH MODELS
Keywords:
Modeling, Volatility, Equity Returns, Global Oil Crisis, FTSE/JSE Top 40 Index
Abstract
Contemporary empirical literature is rich in studies that have modelled and forecasted the nature and behavior of volatility of equity returns in both emerging and advanced stock markets. Modelling and estimating volatility is crucial in dynamic risk management, equity valuation and portfolio diversification. However, South African financial markets have not received ample attention in this regard. It is against this backdrop that we sought to determine the nature and behavior of volatility inherent in the South African stock market. Furthermore, we examined the effect of the 2014 global oil crisis on the volatility spillover in this market. The FTSE/JSE Top 40 index of the Johannesburg Stock Exchange has been selected as the study sample. Sample data for the period spans from October 14, 2009 to December 31, 2019, wherein the crisis period is from March 03, 2014 to February 27, 2015. Conditional volatility has been modelled and estimated using GARCH (1.1), GARCH-M (1.1), TGARCH (1.1) and EGARCH (1.1). The log likelihood, Akaike Information Criterion and Bayesian Information Criterion have been followed for model selection. The results showed that the EGARCH model is the most suitable for predicting the behavior of equity returns including for the global oil crisis period.
JEL Classification Codes: C01, C13, C52, C53, C87.
References
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Aggarwal, R., Inclan, C., & Leal, R. (1999). Volatility in emerging stock markets. Journal of financial and Quantitative Analysis, 33-55.
Alberg, D., Shalit, H., & Yosef, R. (2008). Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18(15), 1201-1208.
Al Freedi, A., Shamiri, A., & Isa, Z. (2012). A study on the behavior of volatility in Saudi Arabia stock market using symmetric and asymmetric GARCH models. Journal of Mathematics & Statistics, 8(1).
Atoi, N. V. (2014). Testing volatility in Nigeria stock market using GARCH models. CBN Journal of Applied Statistics, 5(2), 65-93.
Babikir, A., Gupta, R., Mwabutwa, C., & Owusu-Sekyere, E. (2012). Structural breaks and GARCH models of stock return volatility: The case of South Africa. Economic Modelling, 29(6), 2435-2443.
Baillie, R. T., Chung, C. F., & Tieslau, M. A. (1996). Analysing inflation by the fractionally integrated ARFIMA–GARCH model. Journal of applied econometrics, 11(1), 23-40.
Bandivadekar, S., & Ghosh, S. (2003). Derivatives and volatility on Indian stock markets. Reserve Bank of India Occasional Papers, 24(3), 187-201.
Banumathy, K., & Azhagaiah, R. (2015). Modelling Stock Market Volatility: Evidence from India. Managing Global Transitions: International Research Journal, 13(1).
Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial economics, 43(1), 29-77.
Black, F. (1976). Studies of stock price volatility changes. Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section. American Statistical Association, Washington, DC., 177–181.
Bollerslev, T. (1986). Generalized autoregressive conditional Heteroscedasticity. Journal of Econometrics, 31(3), 307–327. http://dx.doi.org/10.1016/0304-4076(86)90063-1
Bonga, W. G. (2019). Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange. MPRA Paper, (94201).
Brooks, C., & Burke, S. P. (2003). Information Criteria for GARCH Model Selection: An Application to High Frequency Data. European Journal of Finance, 9, 557-580. http://dx.doi.org/10.1080/135184702100002918
Butterworth, D. (2000). The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contract. Applied Economics Letters, 7(7), 439-442.
Chong, C. W., Ahmad, M. I., & Abdullah, M. Y. (1999). Performance of GARCH models in forecasting stock market volatility. Journal of forecasting, 18(5), 333-343.
Chou, R. Y. (1988). Volatility persistence and stock valuations: Some empirical evidence using GARCH. Journal of applied econometrics, 279-294.
Dana, A. N. (2016). Modelling and estimation of volatility using ARCH/GARCH models in Jordan’s stock market. Asian Journal of Finance & Accounting, 8(1), 152-167.
Dawson, P., & Staikouras, S. K. (2009). The impact of volatility derivatives on S&P500 volatility. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(12), 1190-1213.
De Beer, J. S. (2008). The impact of single stock futures on the South African equity market (Doctoral dissertation).
Dhingra, V. S., Gandhi, S., & Bulsara, H. P. (2016). Foreign institutional investments in India: An empirical analysis of dynamic interactions with stock market return and volatility. IIMB Management Review, 28(4), 212-224.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
Ding, Z., Granger, C. W. J., & Angle, R. F. (1993). A long memory property of stocks market returns and a new Model. Journal of Empirical Finance, 1(1), 83–106. http://dx.doi.org/10.1016/0927-5398 (93)90006-D
Enders, W. (2008). Applied econometric time series. John Wiley & Sons.
Engle, R. F. (1982). A general approach to Lagrange multiplier model diagnostics. Journal of Econometrics, 20(1), 83-104.
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica: journal of the Econometric Society, 391-407.
Emenike, K. O. (2010). Modelling Stock Returns Volatility in Nigeria Using GARCH Models. African Journal of Management and Administration, 3(1), 8-15.
Emenike, K. O., & Enock, O. N. (2020). How Does News Affect Stock Return Volatility in a Frontier Market? Management and Labour Studies, 45(4), 433-443.
Fama, E. F. (1965). The behavior of stock market prices. Journal of Business, 38, 34–105. http://dx.doi.org/10.1086/29474
Fong, L., & Han, C. (2015). Impacts of derivative markets on spot market volatility and their persistence. Applied economics, 47(22), 2250-2258.
Ford, J. L., Pok, W. C., & Poshakwale, S. (2006). Dynamic vs. static stock index futures hedging: A case study for Malaysia. Department Of Economics Discussion Paper-University of Birmingham, 8.
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801. http://dx.doi.org/10.1111/j.1540-6261.1993.tb05128.x
Gökbulut, R., & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets. International Journal of Economics and Finance, 6(4), 23-33. http://dx.doi.org/10.5539/ijef.v6n4p23
Goudarzi, H., & Ramanarayanan, C.S. (2011). Modeling Asymmetric Volatility in the Indian Stock Market. International Journal of Business and Management, 6(3), 221-231. http://dx.doi.org/10.5539/ijbm.v6n3p221
Gulen, H., & Mayhew, S. (2000). Stock index futures trading and volatility in international equity markets. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 20(7), 661-685.
Günay, S., & Haque, M. (2015). The effect of futures trading on spot market volatility: evidence from Turkish Derivative Exchange. International Journal of Business and Emerging Markets, 7(3), 265-285.
Gurgul, H., & Machno, A. (2015). Regime-Dependent Relationships among Stock Markets in Frankfurt, Vienna and Warsaw. Managing Global Transitions, 13(1), 3.
Hsieh, D.A. (1989). Modeling heteroscedasticity in daily foreign-exchange rates. Journal of Business & Economic Statistics, 7, 307-317. http://dx.doi.org/10.2307/1391528
Javed, F., & Mantalos, P. (2013). GARCH-type models and performance of information criteria. Communications in Statistics-Simulation and Computation, 42(8), 1917-1933.
Kgoesietsiloe, O. (2015). Modelling and forecasting the volatility of JSE returns: a comparison of competing univariate GARCH models (doctoral dissertation). Retrieved from http://wiredspace.wits.ac.za/handle/10539/17073
Kosapattarapim, C., Lin, Y. X., & McCrae, M. (2012). Evaluating the volatility forecasting performance of best fitting GARCH models in emerging Asian stock markets.
Kumar, A., Biswal, S. K., & Swain, P. K. (2019). A dynamic association between stock markets, Forex, gold and oil prices in Indian context. Revista ESPACIOS| Vol, 40(06).
Lim, C. M., & Sek, S. K. (2013). Comparing the performances of GARCH-type models in capturing the stock market volatility in Malaysia. Procedia Economics and Finance, 5, 478-487.
Lutkepohl, H. (2007) New Introduction to Multiple Time Series Analysis, Springer, Berlin. Pages 557-584
Mall, M., Pradhan, B., & Mishra, P. (2011). The efficiency of India’s stock index futures market: An empirical analysis. International Research Journal of Finance and Economics, 69, 2011.
Magweva, M. R., Munyimi, M. M., & Mbudaya, M. J. (2021). Futures trading and the underlying stock volatility: A case of the FTSE/JSE TOP 40. International Journal of Finance, 6(1), 1-16.
Mangani, R. (2008). Modelling return volatility on the JSE securities exchange of South Africa. African Finance Journal, 10(1), 55-71.
Mashamba, T., & Magweva, R. (2019). Dynamic volatility behaviour of stock markets in Southern Africa. Journal of Economic and Financial Sciences, 12(1), 1-8.
Masinga, Z. C. (2016). Modeling and forecasting stock return volatility in the JSE Securities Exchange (Doctoral dissertation). Retrieved from http://wiredspace.wits.ac.za/handle/10539/21053
Matanovic, E., & Wagner, H. (2012). Volatility impact of stock index futures trading-a revised analysis. Journal of Applied Finance and Banking, 2(5), 113.
Mukherjee, I., Sen, C., & Sarkar, A. (2011). Study of stylized facts in Indian financial markets. International Journal of Applied Economics and Finance, 5(2), 127-137.
Naik, P. K., & Padhi, P. (2015). Interaction of institutional investment activity and stock market volatility: evidence from India. Asia-Pacific Journal of Management Research and Innovation, 11(3), 219-229.
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370.
Neokosmidis, I. (2009). Econometric analysis of realized volatility: Evidence of financial crisis. PhD, Aristotle University of Thessaloniki.
Oberholzer, N., & Venter, P. (2015). Univariate GARCH models applied to the JSE/FTSE stock indices. Procedia Economics and Finance, 24, 491-500.
Olowe, R. A. (2009). Modelling naira/dollar exchange rate volatility: Application of GARCH and asymmetric models. International Review of Business Research Papers, 5(3), 377-398.
Onwukwe, C. E., Bassey, B. E. E., & Isaac, I. O. (2011). On modeling the volatility of Nigerian stock returns using GARCH models. Journal of mathematics research, 3(4), 31.
Pandey, A. (2003). Modeling and forecasting volatility in Indian capital markets.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
Pok, W. C., & Poshakwale, S. (2004). The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange. Applied Financial Economics, 14(2), 143-154.
Ryoo, H. J., & Smith, G. (2004). The impact of stock index futures on the Korean stock market. Applied Financial Economics, 14(4), 243-251.
Sahu, D. (2012). Effect of equity derivatives trading on spot market volatility in India-An empirical exploration. European Journal of Business and Management, 4(11), 50-60.
Samouilhan, N. L., & Shannon, G. (2008). Forecasting volatility on the JSE. Investment Analysts Journal, 37(67), 19-28.
Schwert, G. W. (1989). Why does stock market volatility change over time? The journal of finance, 44(5), 1115-1153.
Sehgal, S., Rajput, N., & Dua, R. K. (2012). Futures trading and spot market volatility: evidence from Indian commodity markets. Asian Journal of Finance & Accounting, 4(2).
Shanthi, A., & Thamilselvan, R. (2019). Modelling and forecasting volatility for BSE and NSE stock index: linear vs. nonlinear approach. Afro-Asian Journal of Finance and Accounting, 9(4), 363-380.
Singh, S., & Tripathi, L. K. (2016). Modelling stock market return volatility: Evidence from India. Research Journal of Finance and Accounting, 7(13), 93-101.
Siopis, A., & Lyroudi, K. (2007). The effects of derivatives trading on stock market volatility: The case of the Athens Stock Exchange. University of Liverpool.
Srinivasan, K. (2013). Modeling the Symmetric and Asymmetric Volatility for Select Stock Futures in India: Evidence from GARCH Family Models. Ushus Journal of Business Management, 12(1), 61-82.
Taylor, S. (1994). Modelling Stochastic Volatility: A Review and Comparative Study. Mathematical Finance, 4, 183-204. http://dx.doi.org/10.1111/j.1467-9965.1994.tb00057.x
Tse, Y. K. (1991). Stock return volatility in the Tokyo Stock Exchange. Japan and the World Economy, 3, 285–98. http://dx.doi.org/10.1016/0922-1425(91)90011-Z
Varughese, A., & Mathew, T. (2017). Asymmetric volatility of the Indian stock market and foreign portfolio investments: An empirical study. Indian J. Finance, 11, 36-49.
Yao, Y. (2016, March). The impact of stock index futures on spot market volatility. In 2016 International Conference on Education, Sports, Arts and Management Engineering (pp. 1244-1247). Atlantis Press.
Yilgor, A. G., & Mebounou, C. L. C. (2016). The effect of futures contracts on the stock market volatility: An application on Istanbul stock exchange. Journal of Business Economics and Finance, 5(3), 307-317.
Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and control, 18(5), 931-95.
Aggarwal, R., Inclan, C., & Leal, R. (1999). Volatility in emerging stock markets. Journal of financial and Quantitative Analysis, 33-55.
Alberg, D., Shalit, H., & Yosef, R. (2008). Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18(15), 1201-1208.
Al Freedi, A., Shamiri, A., & Isa, Z. (2012). A study on the behavior of volatility in Saudi Arabia stock market using symmetric and asymmetric GARCH models. Journal of Mathematics & Statistics, 8(1).
Atoi, N. V. (2014). Testing volatility in Nigeria stock market using GARCH models. CBN Journal of Applied Statistics, 5(2), 65-93.
Babikir, A., Gupta, R., Mwabutwa, C., & Owusu-Sekyere, E. (2012). Structural breaks and GARCH models of stock return volatility: The case of South Africa. Economic Modelling, 29(6), 2435-2443.
Baillie, R. T., Chung, C. F., & Tieslau, M. A. (1996). Analysing inflation by the fractionally integrated ARFIMA–GARCH model. Journal of applied econometrics, 11(1), 23-40.
Bandivadekar, S., & Ghosh, S. (2003). Derivatives and volatility on Indian stock markets. Reserve Bank of India Occasional Papers, 24(3), 187-201.
Banumathy, K., & Azhagaiah, R. (2015). Modelling Stock Market Volatility: Evidence from India. Managing Global Transitions: International Research Journal, 13(1).
Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial economics, 43(1), 29-77.
Black, F. (1976). Studies of stock price volatility changes. Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section. American Statistical Association, Washington, DC., 177–181.
Bollerslev, T. (1986). Generalized autoregressive conditional Heteroscedasticity. Journal of Econometrics, 31(3), 307–327. http://dx.doi.org/10.1016/0304-4076(86)90063-1
Bonga, W. G. (2019). Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange. MPRA Paper, (94201).
Brooks, C., & Burke, S. P. (2003). Information Criteria for GARCH Model Selection: An Application to High Frequency Data. European Journal of Finance, 9, 557-580. http://dx.doi.org/10.1080/135184702100002918
Butterworth, D. (2000). The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contract. Applied Economics Letters, 7(7), 439-442.
Chong, C. W., Ahmad, M. I., & Abdullah, M. Y. (1999). Performance of GARCH models in forecasting stock market volatility. Journal of forecasting, 18(5), 333-343.
Chou, R. Y. (1988). Volatility persistence and stock valuations: Some empirical evidence using GARCH. Journal of applied econometrics, 279-294.
Dana, A. N. (2016). Modelling and estimation of volatility using ARCH/GARCH models in Jordan’s stock market. Asian Journal of Finance & Accounting, 8(1), 152-167.
Dawson, P., & Staikouras, S. K. (2009). The impact of volatility derivatives on S&P500 volatility. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(12), 1190-1213.
De Beer, J. S. (2008). The impact of single stock futures on the South African equity market (Doctoral dissertation).
Dhingra, V. S., Gandhi, S., & Bulsara, H. P. (2016). Foreign institutional investments in India: An empirical analysis of dynamic interactions with stock market return and volatility. IIMB Management Review, 28(4), 212-224.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
Ding, Z., Granger, C. W. J., & Angle, R. F. (1993). A long memory property of stocks market returns and a new Model. Journal of Empirical Finance, 1(1), 83–106. http://dx.doi.org/10.1016/0927-5398 (93)90006-D
Enders, W. (2008). Applied econometric time series. John Wiley & Sons.
Engle, R. F. (1982). A general approach to Lagrange multiplier model diagnostics. Journal of Econometrics, 20(1), 83-104.
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica: journal of the Econometric Society, 391-407.
Emenike, K. O. (2010). Modelling Stock Returns Volatility in Nigeria Using GARCH Models. African Journal of Management and Administration, 3(1), 8-15.
Emenike, K. O., & Enock, O. N. (2020). How Does News Affect Stock Return Volatility in a Frontier Market? Management and Labour Studies, 45(4), 433-443.
Fama, E. F. (1965). The behavior of stock market prices. Journal of Business, 38, 34–105. http://dx.doi.org/10.1086/29474
Fong, L., & Han, C. (2015). Impacts of derivative markets on spot market volatility and their persistence. Applied economics, 47(22), 2250-2258.
Ford, J. L., Pok, W. C., & Poshakwale, S. (2006). Dynamic vs. static stock index futures hedging: A case study for Malaysia. Department Of Economics Discussion Paper-University of Birmingham, 8.
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801. http://dx.doi.org/10.1111/j.1540-6261.1993.tb05128.x
Gökbulut, R., & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets. International Journal of Economics and Finance, 6(4), 23-33. http://dx.doi.org/10.5539/ijef.v6n4p23
Goudarzi, H., & Ramanarayanan, C.S. (2011). Modeling Asymmetric Volatility in the Indian Stock Market. International Journal of Business and Management, 6(3), 221-231. http://dx.doi.org/10.5539/ijbm.v6n3p221
Gulen, H., & Mayhew, S. (2000). Stock index futures trading and volatility in international equity markets. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 20(7), 661-685.
Günay, S., & Haque, M. (2015). The effect of futures trading on spot market volatility: evidence from Turkish Derivative Exchange. International Journal of Business and Emerging Markets, 7(3), 265-285.
Gurgul, H., & Machno, A. (2015). Regime-Dependent Relationships among Stock Markets in Frankfurt, Vienna and Warsaw. Managing Global Transitions, 13(1), 3.
Hsieh, D.A. (1989). Modeling heteroscedasticity in daily foreign-exchange rates. Journal of Business & Economic Statistics, 7, 307-317. http://dx.doi.org/10.2307/1391528
Javed, F., & Mantalos, P. (2013). GARCH-type models and performance of information criteria. Communications in Statistics-Simulation and Computation, 42(8), 1917-1933.
Kgoesietsiloe, O. (2015). Modelling and forecasting the volatility of JSE returns: a comparison of competing univariate GARCH models (doctoral dissertation). Retrieved from http://wiredspace.wits.ac.za/handle/10539/17073
Kosapattarapim, C., Lin, Y. X., & McCrae, M. (2012). Evaluating the volatility forecasting performance of best fitting GARCH models in emerging Asian stock markets.
Kumar, A., Biswal, S. K., & Swain, P. K. (2019). A dynamic association between stock markets, Forex, gold and oil prices in Indian context. Revista ESPACIOS| Vol, 40(06).
Lim, C. M., & Sek, S. K. (2013). Comparing the performances of GARCH-type models in capturing the stock market volatility in Malaysia. Procedia Economics and Finance, 5, 478-487.
Lutkepohl, H. (2007) New Introduction to Multiple Time Series Analysis, Springer, Berlin. Pages 557-584
Mall, M., Pradhan, B., & Mishra, P. (2011). The efficiency of India’s stock index futures market: An empirical analysis. International Research Journal of Finance and Economics, 69, 2011.
Magweva, M. R., Munyimi, M. M., & Mbudaya, M. J. (2021). Futures trading and the underlying stock volatility: A case of the FTSE/JSE TOP 40. International Journal of Finance, 6(1), 1-16.
Mangani, R. (2008). Modelling return volatility on the JSE securities exchange of South Africa. African Finance Journal, 10(1), 55-71.
Mashamba, T., & Magweva, R. (2019). Dynamic volatility behaviour of stock markets in Southern Africa. Journal of Economic and Financial Sciences, 12(1), 1-8.
Masinga, Z. C. (2016). Modeling and forecasting stock return volatility in the JSE Securities Exchange (Doctoral dissertation). Retrieved from http://wiredspace.wits.ac.za/handle/10539/21053
Matanovic, E., & Wagner, H. (2012). Volatility impact of stock index futures trading-a revised analysis. Journal of Applied Finance and Banking, 2(5), 113.
Mukherjee, I., Sen, C., & Sarkar, A. (2011). Study of stylized facts in Indian financial markets. International Journal of Applied Economics and Finance, 5(2), 127-137.
Naik, P. K., & Padhi, P. (2015). Interaction of institutional investment activity and stock market volatility: evidence from India. Asia-Pacific Journal of Management Research and Innovation, 11(3), 219-229.
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370.
Neokosmidis, I. (2009). Econometric analysis of realized volatility: Evidence of financial crisis. PhD, Aristotle University of Thessaloniki.
Oberholzer, N., & Venter, P. (2015). Univariate GARCH models applied to the JSE/FTSE stock indices. Procedia Economics and Finance, 24, 491-500.
Olowe, R. A. (2009). Modelling naira/dollar exchange rate volatility: Application of GARCH and asymmetric models. International Review of Business Research Papers, 5(3), 377-398.
Onwukwe, C. E., Bassey, B. E. E., & Isaac, I. O. (2011). On modeling the volatility of Nigerian stock returns using GARCH models. Journal of mathematics research, 3(4), 31.
Pandey, A. (2003). Modeling and forecasting volatility in Indian capital markets.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
Pok, W. C., & Poshakwale, S. (2004). The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange. Applied Financial Economics, 14(2), 143-154.
Ryoo, H. J., & Smith, G. (2004). The impact of stock index futures on the Korean stock market. Applied Financial Economics, 14(4), 243-251.
Sahu, D. (2012). Effect of equity derivatives trading on spot market volatility in India-An empirical exploration. European Journal of Business and Management, 4(11), 50-60.
Samouilhan, N. L., & Shannon, G. (2008). Forecasting volatility on the JSE. Investment Analysts Journal, 37(67), 19-28.
Schwert, G. W. (1989). Why does stock market volatility change over time? The journal of finance, 44(5), 1115-1153.
Sehgal, S., Rajput, N., & Dua, R. K. (2012). Futures trading and spot market volatility: evidence from Indian commodity markets. Asian Journal of Finance & Accounting, 4(2).
Shanthi, A., & Thamilselvan, R. (2019). Modelling and forecasting volatility for BSE and NSE stock index: linear vs. nonlinear approach. Afro-Asian Journal of Finance and Accounting, 9(4), 363-380.
Singh, S., & Tripathi, L. K. (2016). Modelling stock market return volatility: Evidence from India. Research Journal of Finance and Accounting, 7(13), 93-101.
Siopis, A., & Lyroudi, K. (2007). The effects of derivatives trading on stock market volatility: The case of the Athens Stock Exchange. University of Liverpool.
Srinivasan, K. (2013). Modeling the Symmetric and Asymmetric Volatility for Select Stock Futures in India: Evidence from GARCH Family Models. Ushus Journal of Business Management, 12(1), 61-82.
Taylor, S. (1994). Modelling Stochastic Volatility: A Review and Comparative Study. Mathematical Finance, 4, 183-204. http://dx.doi.org/10.1111/j.1467-9965.1994.tb00057.x
Tse, Y. K. (1991). Stock return volatility in the Tokyo Stock Exchange. Japan and the World Economy, 3, 285–98. http://dx.doi.org/10.1016/0922-1425(91)90011-Z
Varughese, A., & Mathew, T. (2017). Asymmetric volatility of the Indian stock market and foreign portfolio investments: An empirical study. Indian J. Finance, 11, 36-49.
Yao, Y. (2016, March). The impact of stock index futures on spot market volatility. In 2016 International Conference on Education, Sports, Arts and Management Engineering (pp. 1244-1247). Atlantis Press.
Yilgor, A. G., & Mebounou, C. L. C. (2016). The effect of futures contracts on the stock market volatility: An application on Istanbul stock exchange. Journal of Business Economics and Finance, 5(3), 307-317.
Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and control, 18(5), 931-95.
Published
2021-06-15
How to Cite
Rusere, W., & Kaseke, F. (2021). MODELING SOUTH AFRICAN STOCK MARKET VOLATILITY USING UNIVARIATE SYMMETRIC AND ASYMMETRIC GARCH MODELS. Indian Journal of Finance and Banking, 6(1), 1-16. https://doi.org/10.46281/ijfb.v6i1.1177
Section
Regular Research Article/ Short Communication Article
Copyright (c) 2021 Warren Rusere, Forbes Kaseke
This work is licensed under a Creative Commons Attribution 4.0 International License.
