Korkpoe, Carl H.; Junior, Peterson Owusu - In: SPOUDAI - Journal of Economics and Business 68 (2018) 1, pp. 26-42
We investigated the behaviour of returns of the Johannesburg Stock Exchange All Share Index using asymmetrical exponential-GARCH(1,1) and GJR-GARCH(1,1) incorporating the market reactions to news. We noted the returns distribution is skewed and have fat-tails with respect to the normal...