Univariate GARCH Models Applied to the JSE/FTSE Stock Indices

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,...

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Bibliographic Details
Published in:Procedia economics and finance 2015, Vol.24, p.491-500
Main Authors: Oberholzer, Niel, Venter, Pierre
Format: Article
Language:English
Subjects:
EGARCH(1,1)
GARCH (1,1)
GJR-GARC(1,1)
JSE
JSE/FTSE All Share Index (J203)
JSE/FTSE Fledgling Index (J204)
JSE/FTSE Mid Cap Index (J201)
JSE/FTSE Small Cap Index (J202)
JSE/FTSE Top 40 Index (J200)
Rand
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Summary: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.
ISSN:2212-5671
2212-5671
DOI:10.1016/S2212-5671(15)00616-4