Structural breaks and GARCH models of stock return volatility : the case of South Africa
Year of publication: |
2012
|
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Authors: | Babikir, Ali ; Gupta, Rangan ; Mwabutwa, Chance ; Owusu-Sekyere, Emmanuel |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 6, p. 2435-2443
|
Subject: | Stock return volatility | Structural breaks | In-sample tests | Out-of-sample tests | GARCH models | Volatilität | Volatility | ARCH-Modell | ARCH model | Strukturbruch | Structural break | Kapitaleinkommen | Capital income | Südafrika | South Africa | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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