This paper investigates possible drivers of volatility in the South African rand since the onset of the global … financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global … market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market …

Even prior to the extreme volatility just observed, output growth volatility-following protracted decline … country to transmit rapidly to other countries, creating the potential for heightened global volatility. The higher …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the … transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …