Purpose – The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously. Design/methodology/approach – Volatility estimates are incorporated...

The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the...

This article evaluates the performance of a range of alternative volatility models in forecasting volatility and value-at-risk (VaR) in the context of the Basle regulatory framework, using stock index return data from South Africa. We extend the current research in emerging markets by...