Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; … - In: Economic Modelling 29 (2012) 6, pp. 2435-2443
This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests applied to daily returns of the Johannesburg Stock Exchange (JSE) All Share Index from 07/02/1995 to 08/25/2010. We find evidence of structural...