Volatility Spill-over between the JSE/FTSE Indices and the South African Rand

In this paper the inter-market relationship between the South African Rand and the 5 main indices of the Johannesburg Stock Exchange was investigated. The dataset used in this paper was the daily closing values, from January 2002 to end September 2014. A multivariate CCC-GARCH (1,1) model was used to test the spill-over effects and the impact of shocks into both market. The Rand is more volatile to market shocks compared to the JSE/FTSE's All Share Index (J203), Top 40 Index (J200), Midcap Index (J201), but less volatile to market shocks than JSE/FTSE's Small Cap Index (J202) and Fledgling Index (J204).