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• W2922367616 abstract "The study used the Markov regime switching model to investigate the presence of regimes in the volatility dynamics of the returns of JSE All-Share Index (ALSI). Volatility regimes are as a result of sudden changes in the underlying economy generating the market returns. In all, twelve candidate models were fitted to the data. Estimates from the regime switching model were compared to the industry standard non-switching GARCH (1,1) using the Deviance Information Criteria (DIC). The results show that the two-regime switching EGARCH model with skewed Student t innovations describes better the return of the JSE Index. Additionally, we backtest the model results in order to confirm our findings that the two-regime switching EGARCH is the best of the models for the sample period." @default.
• W2922367616 created "2019-03-22" @default.
• W2922367616 creator A5079546630 @default.
• W2922367616 creator A5091094644 @default.
• W2922367616 date "2019-03-12" @default.
• W2922367616 modified "2023-09-27" @default.
• W2922367616 title "A Markov regime switching approach to estimating the volatility of Johannesburg Stock Exchange (JSE) returns" @default.
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• W2922367616 doi "https://doi.org/10.21511/imfi.16(1).2019.17" @default.
• W2922367616 hasPublicationYear "2019" @default.
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