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Modelling Return Volatility on the JSE Securities Exchange of South Africa

Author

Listed:
  • Ronald Mangani

    (University of Malawi)

Abstract

This paper explores the structure of volatility on the JSE Securities Exchange of South Africa by employing ARCH-type models. Although the evidence suggests that volatility is prevalent on this market, it is established that the effects of shocks on volatility are symmetric, and that volatility is not a commonly priced factor. Hence, the standard GARCH(1,1) model provides the best description of the return dynamics relative to its complex augmentations. Further, application of the BDS test shows that the model significantly, but less than fully, accounts for non-linearities in the series.

Suggested Citation

  • Ronald Mangani, 2008. "Modelling Return Volatility on the JSE Securities Exchange of South Africa," The African Finance Journal, Africagrowth Institute, vol. 10(1), pages 55-71.
    • Handle: RePEc:afj:journl:v:10:y:2008:i:1:p:55-71
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    Citations

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    Cited by:

    1. Kejin Wu & Sayar Karmakar & Rangan Gupta & Christian Pierdzioch, 2023. "Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa," Working Papers 202326, University of Pretoria, Department of Economics.
    2. Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016. "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 551-561.
    3. Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2023. "Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment," Mathematics, MDPI, vol. 11(6), pages 1-26, March.
    4. Othieno, Ferdinand & Biekpe, Nicholas, 2019. "Estimating the conditional equity risk premium in African frontier markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 538-551.
    5. Sharif Ullah Jan & Hashim Khan, 2018. "Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(2), pages 1-28, June.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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