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Structural breaks and GARCH models of stock return volatility: The case of South Africa
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 … structural breaks in the volatility, there are no statistical gains from using competing models that explicitly accounts for …
Persistent link: https://www.econbiz.de/10010588219
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Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa
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 …-samples defined by the structural breaks. This indicates that structural breaks are empirically relevant to stock return volatility in … accommodate structural breaks in volatility improves the accuracy of volatility forecasting. Furthermore, for shorter horizons …
Persistent link: https://www.econbiz.de/10008756443
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Macroeconomic Variables and South African Stock Return Predictability
Gupta, Rangan; Modise, Mampho P. - In: Economic Modelling 30 (2013) C, pp. 612-622
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/10010608280
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South African stock return predictability in the context data mining: The role of financial variables and international stock returns
Gupta, Rangan; Modise, Mampho P. - In: Economic Modelling 29 (2012) 3, pp. 908-916
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/10010573379
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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
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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
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Analyzing the Dual Long Memory in Stock Market Returns
URAL, Mert; KUCUKOZMEN, C. Coskun - In: Ege Academic Review 11 (2011) Special Issue, pp. 19-28
breaks in volatility persistence, the breaks in variance are detected by using the Iterated Cumulative Sums of Squares (ICSS … stock markets. Also the volatility has a predictable structure and indicates that all stock markets are weak form …-mating volatility dynamics and effectively reduces the persistence of volatility. …
Persistent link: https://www.econbiz.de/10010551371
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Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period
Laborde, David; Rey, Serge - Volkswirtschaftliche Fakultät, … - 2001
(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …
Persistent link: https://www.econbiz.de/10009643213
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Testing for changes in volatility in heteroskedastic time series - a further examination
De Pooter, Michiel; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2004
We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based … the correct null hypothesis of no volatility change is rejected much too frequently. Applying the tests to standardized … designed to test sequentially for the presence of multiple changes in volatility. An application to emerging markets stock …
Persistent link: https://www.econbiz.de/10010731577
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Testing for changes in volatility in heteroskedastic time series - a further examination
Pooter, M.D. de; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2004
We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based … the correct null hypothesis of no volatility change is rejected much too frequently. Applying the tests to standardized … designed to test sequentially for the presence of multiple changes in volatility. An application to emerging markets stock …
Persistent link: https://www.econbiz.de/10004991110