Univariate GARCH Models Applied to the JSE/FTSE Stock Indices

The GARCH(1,1), GJR-GARCH(1,1) and EGARCH(1,1) models will be used to analyse changes in the daily volatility of 5 indices on the Johannesburg Stock Exchange. The 2007-2009 financial crisis was explored to investigate any change in volatility behaviour. Results obtained for the full period of study, 2002 until end 2014, GJR-GARCH was the best fitting model for all the indices except for the JSE/FTSE Top 40 Index. During the financial crisis the GJR-GARCH was the best fitting model for all indices except for the JSE/FTSE Fledgling Index (J204) where EGARCH was the best fitting model.