Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; … - Department of Economics, Faculty of Economic and … - 2010
This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests and daily returns for the Johannesburg Stock Exchange (JSE) All Share Index from 07/02/1995 to 08/25/2010. We find evidence of structural...