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RePEcDerivatives & Volatility

Volatility and Equity Returns in South Africa

The research explores the connection between the South African volatility index and Johannesburg Stock Exchange listed stock indices, concluding that the TGARCH model is best for modeling volatility and the SAVI has a significant positive relationship with all selected indices.

Featured in No. 36 on 7 Feb 2024 · on release day

Released
7 Feb 2024
First featured
No. 36 · 7 Feb 2024
Published in
Not yet, as far as Semantic Scholar knows
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26
Identifier
RePEc:ids:afasfa:v:14:y:2024:i:1:p:83-99

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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