-at-Risk framework. Value-at-Risk is estimated on four equity stocks listed on the Johannesburg Stock Exchange, including the FTSE/JSE … TOP40 index and the S & P 500 index. The statistical distribution of the financial returns is modelled using the Normal …

-at-Risk framework. Value-at-Risk is estimated on four equity stocks listed on the Johannesburg Stock Exchange, including the FTSE/JSE … TOP40 index and the S & P 500 index. The statistical distribution of the financial returns is modelled using the Normal …

-at-Risk framework. Value-at-Risk is estimated on four equity stocks listed on the Johannesburg Stock Exchange, including the FTSE/JSE … TOP40 index and the S & P 500 index. The statistical distribution of the financial returns is modelled using the Normal …

there was volatility clustering on the FTSE/JSE Top 40 Index. It further showed that more complex models such as the GARCH(1 …ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE/JSE … Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the …