Browsing Economic and Management Sciences by Subject "Volatility"

Now showing items 1-6 of 6

    • Developing a share portfolio selection framework for the mining sector 

      Kleynhans, Johan Andries (North-West University (South Africa) , Potchefstroom Campus, 2015)
      In order to make the right investment decision about future share prices one must be able to predict accurately. Nonetheless investment will still be bound to risk and volatility due to share market fluctuations. Therefore ...

    • 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 ...

    • Measuring reputational risk in the South African banking sector 

      Ferreira, Susara (2015)
      With few previous data and literature based on the South African banking sector, the key aim of this study was to contribute further results concerning the effect of operational loss events on the reputation of South African ...

    • Measuring the systemic risk in the South African and United States banking sectors 

      Foggitt, Gregory Malcolm (North-West University (South Africa) , Potchefstroom Campus, 2016)
      Systemic risk can affect the entire global financial system and may therefore be one of the most important financial risks – yet it remains one of the least understood. The sub-prime crisis in 2008 illustrated how systemic ...

    • 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 ...