Structural breaks and GARCH models of stock return volatility : the case of South Africa
Ali Babikir; Rangan Gupta; Chance Mwabutwa; Emmanuel Owusu-Sekyere
| Year of publication: |
2012
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|---|---|
| Authors: | Babikir, Ali ; Gupta, Rangan ; Mwabutwa, Chance ; Owusu-Sekyere, Emmanuel |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 6, p. 2435-2443
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| Subject: | Stock return volatility | Structural breaks | In-sample tests | Out-of-sample tests | GARCH models | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Strukturbruch | Structural break | Südafrika | South Africa | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Aktienmarkt | Stock market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009673703