A Markov regime switching approach to estimating the volatility of Johannesburg Stock Exchange (JSE) returns
The study used the Markov regime switching model to investigate the presence of regimes in the volatility dynamics of the returns of JSE All-Share Index (ALSI). Volatility regimes are as a result of sudden changes in the underlying economy generating the market returns. In all, twelve candidate mode...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2019-03-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11679/IMFI_2019_01_Oseifuah.pdf |