Browsing by Subject "GARCH"

Now showing items 1-9 of 9

    • Analysing electricity consumption in South Africa using volatility forecasting models 

      Makobea, O.S. (North-West University (South Africa), 2023)
      The study explored the three-phase approach of SARIMA following the Box-Jenkins methodology, GARCH, and hybrid SARIMA-GARCH models. These volatility forecasting models were used to model electricity consumption in South ...

    • An application of the Vector Error Correction Model with Garch effects to financial data 

      Lupekesa, Chipasha Salome Bwalya (North-West University (South Africa), 2021)
      The aim of this study is to investigate the relationship of assets, capital, liabilities and liquidity by using monthly time series data for the South African economy. The period examined ranged from 2005 to 2018. The study ...

    • An empirical analysis of exchange rate volatility on exports : the case of South Africa 

      Oliphant, Olebogeng William (North-West University (South Africa), 2023)
      This study assesses the impact of exchange rate volatility on energy prices in South Africa. The study employed quarterly data from 1985Q1 to 2020Q4. Volatility in the study is measured using Generalized Autoregressive ...

    • GARCH models based on Brownian Inverse Gaussian innovation processes 

      Griebenow, Gideon (North-West University, 2006)
      In classic GARCH models for financial returns the innovations are usually assumed to be normally distributed. However, it is generally accepted that a non-normal innovation distribution is needed in order to account for ...

    • Managing an agricultural commodities portfolio in South Africa with pairs trading 

      Heymans, André (North-West University, 2007)
      Although a pair trading is well known among South African agricultural commodity traders, there are no comprehensive documented accounts for the selection and trading of agricultural commodity pairs in South Africa. The ...

    • Model misspecification in Financial Risk Management 

      Stiglingh, Zonia Chandré (North-West University (South Africa), 2022)
      Model risk has become more relevant over the past few decades. A few reasons that attribute to the rise in awareness and interest in model risk include the requirement of advanced risk models by financial sector authorities, ...

    • Modeling return volatility on the JSE sectors 

      Makoko, Katleho (North-West University (South Africa). Vanderbijlpark Campus, 2019)
      Modelling and forecasting volatility are essential functions in different fields of finance, particularly in the quantitative risk management departments of banks and insurance companies. Volatility within the stock market ...

    • Modelling the oil price volatility and macroeconomic variables in South Africa using MGARCH Models 

      Sekati, Boitumelo Nnoi Yolanda (North-West University (South Africa), 2020)
      This study modelled the oil price volatility and macroeconomic variables in South Africa using Multivariate GARCH models. The data used in the study consists of 114 observations ranging from 1990 Q1 to 2018 Q2. The study ...

    • Oil Price Volatility : GARCH, SVR-GARCH and EVT APPROACH 

      Akomaning, Bridget (North-West University (South Africa), 2019)
      Oil prices have been volatile over the past few years. Several models have been developed to describe volatility but the frequently used models are the ARCH and GARCH models. Research on GARCH and SVR-GARCH models have ...