An ARCH/GARCH arbitrage pricing theory approach to modelling the return generating process of South African stock returns.

An ARCH/GARCH arbitrage pricing theory approach to modelling the return generating process of South African stock returns.

This study investigates the return generating process underlying the South African stock market. The investigation of the return generating process is framed within the Arbitrage Pricing Theory (APT) framework with the APT reinterpreted so as to provide a conceptual framework within which the ret...

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Bibliographic Details
Main Author: Szczygielski, Jan Jakub
Format: Others
Language:en
Published: 2013
Subjects:
Arbitrage pricing theory
Autoregressive conditional heteroscedastic
Generalized autoregressive conditional heteroscedastic
ARCH
GARCH
Time series
Risk factors
Multifactor model
Return generating process
Online Access:http://hdl.handle.net/10539/13035

Internet

http://hdl.handle.net/10539/13035

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