Modelling and Forecasting Volatility of JSE Sectoral Indices PDF Download

Author: Matthew Song
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 80

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Author: Renukadevi Palaniswamy
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Volatility is plays a vital role in stock market's bull and bear phases. Although existence of volatility is the symbol of inefficient market, high volatility will also complements high return. Hence volatility modeling is vital for investment decisions and construction of portfolio. Several linear and non - linear models have been developed by many researchers to model the volatility of the stock market. The objective of this study is to model the volatility of the BSE Sectoral indices. The daily sectoral indices are taken from (the BSE website) for the period of January, 2001 to June, 2012. The return of the BSE sectoral indices exhibit the characteristics of normality, stationarity and heteroskedasticity. Also the ACF and PACF indicate that ARMA(1,1) is the suitable one for modeling the average return. The residuals of the ARMA(1,1) of the sectoral index returns except for IT and TECH are heteroskedastic. Hence, a non-linear model is to found to model the volatility of the return series. An attempt is made to model the volatility of the return series and found that GARCH(1,1) model is the best one.

Author: El Bachir Boukherouaa
Publisher: International Monetary Fund
ISBN: 1589063953
Category : Business & Economics
Languages : en
Pages : 35

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This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.

Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654

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Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

Author: Chris Brooks
Publisher: Cambridge University Press
ISBN: 1139487167
Category : Business & Economics
Languages : en
Pages : 474

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As real estate forms a significant part of the asset portfolios of most investors and lenders, it is crucial that analysts and institutions employ sound techniques for modelling and forecasting the performance of real estate assets. Assuming no prior knowledge of econometrics, this book introduces and explains a broad range of quantitative techniques that are relevant for the analysis of real estate data. It includes numerous detailed examples, giving readers the confidence they need to estimate and interpret their own models. Throughout, the book emphasises how various statistical techniques may be used for forecasting and shows how forecasts can be evaluated. Written by a highly experienced teacher of econometrics and a senior real estate professional, both of whom are widely known for their research, Real Estate Modelling and Forecasting is the first book to provide a practical introduction to the econometric analysis of real estate for students and practitioners.

Author: Mohammed El Hedi Arouri
Publisher: Academic Press
ISBN: 0124115632
Category : Business & Economics
Languages : en
Pages : 927

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Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies

Author: Burcu Adıgüzel Mercangöz
Publisher: Springer Nature
ISBN: 3030541088
Category : Business & Economics
Languages : en
Pages : 465

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This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Author: Van-Nam Huynh
Publisher: Springer Nature
ISBN: 3031467752
Category : Computers
Languages : en
Pages : 351

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These two volumes constitute the proceedings of the 10th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 2023, held in Kanazawa, Japan, during November 2-4, 2023. The 58 full papers presented were carefully reviewed and selected from 107 submissions. The papers deal with all aspects of research results, ideas, and experiences of application among researchers and practitioners involved with all aspects of uncertainty modelling and management.

Author: Nasha Maveé
Publisher: International Monetary Fund
ISBN: 1475545428
Category : Business & Economics
Languages : en
Pages : 38

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This paper investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate. Economic surprises—the difference between market expectations and data prints—are captured by Citi’s Economic Surprise Index which is available for South Africa and its main economic partners. The results suggest that rand volatility is mainly driven by commodity price volatility, and global market volatility, as well as domestic political uncertainty. In addition, economic surprises originating in the United States matter, but not those originating from South Africa, Europe, or China.

Author: John B. Guerard, Jr.
Publisher: Springer Science & Business Media
ISBN: 1461452392
Category : Business & Economics
Languages : en
Pages : 245

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Forecasting—the art and science of predicting future outcomes—has become a crucial skill in business and economic analysis. This volume introduces the reader to the tools, methods, and techniques of forecasting, specifically as they apply to financial and investing decisions. With an emphasis on "earnings per share" (eps), the author presents a data-oriented text on financial forecasting, understanding financial data, assessing firm financial strategies (such as share buybacks and R&D spending), creating efficient portfolios, and hedging stock portfolios with financial futures. The opening chapters explain how to understand economic fluctuations and how the stock market leads the general economic trend; introduce the concept of portfolio construction and how movements in the economy influence stock price movements; and introduce the reader to the forecasting process, including exponential smoothing and time series model estimations. Subsequent chapters examine the composite index of leading economic indicators (LEI); review financial statement analysis and mean-variance efficient portfolios; and assess the effectiveness of analysts’ earnings forecasts. Using data from such firms as Intel, General Electric, and Hitachi, Guerard demonstrates how forecasting tools can be applied to understand the business cycle, evaluate market risk, and demonstrate the impact of global stock selection modeling and portfolio construction.