| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5055097 | Economic Modelling | 2012 | 9 Pages |
Abstract
⺠We analyze the relevance of structural breaks for daily stock return volatility ⺠In and out-of-sample tests conducted on JSE ALSI for the period 07/02/1995-08/25/2010 ⺠Evidence of structural breaks in the unconditional variance ⺠No forecasting gains in using models that accounts for structural breaks ⺠GARCH(1,1) model with expanding window performs the best.
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Authors
Ali Babikir, Rangan Gupta, Chance Mwabutwa, Emmanuel Owusu-Sekyere,