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Macroeconomic Variables and South African Stock Return Predictability

Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2011

We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive regression framework, using monthly data covering the in-sample period between 1990:01 and 1996:12, and the out-of sample period commencing...

Persistent link: https://www.econbiz.de/10008876620

South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns

Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2010

In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns using a number of financial variables, based on monthly data with an in-sample period covering 1990:01 to 1996:12 and the out-of-sample period of 1997:01 to 2010:04. We use the...

Persistent link: https://www.econbiz.de/10008756444

Structural Breaks and Predictive Regressions Models of South African Equity Premium

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2012

In this paper, we test for the structural stability of both bivariate and multivariate predictive regression models for equity premium in South Africa over the period of 1990:01 to 2010:12, based on 23 financial and macroeconomic variables. We employ a wide range of methodologies, namely, the...

Persistent link: https://www.econbiz.de/10009652009

The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand

Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013

This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African Rand against the United States dollar and the British Pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band- TAR...

Persistent link: https://www.econbiz.de/10010636769

Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data

Lux, Thomas; Segnon, Mawuli K.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … indicate that none of our volatility models can uniformly outperform other models across all six different loss functions …

Persistent link: https://www.econbiz.de/10011268875

An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa

Balcilar, Mehmet; Gupta, Rangan; Shah, Zahra - Department of Economics, Faculty of Economic and … - 2010

This paper first tests if housing prices in the five segments of the South African housing market, namely, large-middle, medium-middle, small-middle, luxury and affordable, exhibits non-linearity based on smooth transition autoregressive (STAR) models estimated using quarterly data covering the...

Persistent link: https://www.econbiz.de/10008486900

Identifying a financial conditions index for South Africa

Thompson, Kirsten; Eyden, Renee van; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

volatility, bond market volatility and monetary aggregates. We explore different methodologies for constructing the FCI, and find …

Persistent link: https://www.econbiz.de/10010751641

Oil Price Forecastability and Economic Uncertainty

Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Department of Economics, Faculty of Economic and … - 2015

. Our results indicate that over the period 1900:1-2014:2 the time-varying VAR model with stochastic volatility outranks all …

Persistent link: https://www.econbiz.de/10011214021

Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data

Bruyn, Riane de; Gupta, Rangan; stander, Lardo - Department of Economics, Faculty of Economic and … - 2011

Evidence in favour of the monetary model of exchange rate determination for the South African Rand is at best mixed. A co-integrating relationship between the nominal exchange rate and fundamentals forms the basis of the monetary model. With the econometric literature suggesting that it is the...

Persistent link: https://www.econbiz.de/10009370795

The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method

Balcilar, Mehmet; Bekiros, Stelios; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

whether EPU and EMU uncertainty measures incorporate critical predictability for oil market returns and volatility. Based on … predictability over the entire distribution of oil around the median, yet more importantly for volatility forecastability covers the … pattern over the distribution of oil returns and its volatility exists with respect to uncertainty predictability. …

Persistent link: https://www.econbiz.de/10011267815

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