Emmanuel K. Oseifuah
-
3 publications
-
1246 downloads
-
989 views
- 1030 Views
-
0 books
-
Activity based costing (ABC) in the public sector: benefits and challenges
Problems and Perspectives in Management Volume 12, 2014 Issue #4 (cont. 2)
Views: 740 Downloads: 1971 TO CITE -
Knowledge and economic growth: a comparative analysis of three regional blocks in sub-Saharan Africa
Environmental Economics Volume 6, 2015 Issue #4 (cont.) pp. 196-208
Views: 517 Downloads: 473 TO CITE -
Internal control systems in small and medium-sized medical practices in the Thulamela municipality, South Africa
Problems and Perspectives in Management Volume 13, 2015 Issue #4 (cont.) pp. 215-222
Views: 513 Downloads: 847 TO CITE -
A Markov regime switching approach to estimating the volatility of Johannesburg Stock Exchange (JSE) returns
Investment Management and Financial Innovations Volume 16, 2019 Issue #1 pp. 215-225
Views: 1990 Downloads: 381 TO CITE АНОТАЦІЯThe 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.