Browsing Outcomes by Subject "Volatility"

Now showing items 1-3 of 3

Modelling equity risk and external dependence: A survey of four African Stock Markets

Samuel, Richard Abayomi (2019-05-18)

The ripple e ect of a stock market crash due to extremal dependence is a global issue with key attention and it is at the core of all modelling e orts in risk management. Two methods of extreme value theory (EVT) were ...
Modelling volatility, equity risk and extremal dependence of the BRICS Stock Markets

Mukhodobwane, Rosinah Mphedziseni (2022-07-15)

With the use of empirical data of the BRICS (Brazil, Russia, India, China, and South Africa) stock markets, this thesis focuses on solving three main nancial and investment issues involving returns volatility, risk and ...
Stochastic mean-reverting volatility forecasting with Augmented ARM-GARCH models

Antwi, Albert (2021-04-12)

The unconditional forecasting structures of non-time varying GARCH models impose monotonic mean reversion paths on medium to long-run volatility forecasts when breaks and changes in the unconditional volatility are ignored ...

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