The relationship between implied volatility and equity returns in South Africa
Year of publication: |
2024
|
---|---|
Authors: | Peerbhai, Faeezah ; Kunjal, Damien ; Naidu, Delane D. ; Camiel Singh ; Moodley, Fabian |
Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6455, ZDB-ID 2408741-5. - Vol. 14.2024, 1, p. 83-99
|
Subject: | GARCH | implied volatility | returns | SAVI | South African volatility index | volatility modelling | Südafrika | South Africa | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Aktienindex | Stock index |
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