| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 981191 | Procedia Economics and Finance | 2015 | 10 Pages |
Abstract
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.
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