Autoregressive (SVAR) methodology is applied incorporating realized volatility as an indicator of oil price uncertainty to … contributes substantially to variations in real output, inflation and various macroeconomic variables of South Africa. Therefore …

decompose aggregate uncertainty into ‘good' and ‘bad' volatility components, associated with positive and negative innovations … economic growth and depresses asset prices. Further, the market price of risk and equity beta of good uncertainty are positive …, while negative for bad uncertainty. Hence, both uncertainty risks contribute positively to risk premia, and help explain the …