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 … return volatility in South Africa. However, based on the out-of-sample forecasting exercise, we find that even though there …-horizon forecasting of stock return volatility. …