Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
Includes bibliographical references. === This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model was applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Baye...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2015
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| Online Access: | http://hdl.handle.net/11427/12344 |