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Financial time series with heteroscedastic volatility in the South African financial markets
Dissertation MSc)--University of Pretoria, 1999.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2022
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| _version_ | 1867613663875039232 |
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| access_status_str | Open Access |
| author2 | Van Niekerk, F.D. |
| author_browse | Van Niekerk, F.D. |
| author_facet | Van Niekerk, F.D. |
| collection | Thesis |
| dc_rights_str_mv | © 2021 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation MSc)--University of Pretoria, 1999. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/83220 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:44.170Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/83220 Financial time series with heteroscedastic volatility in the South African financial markets Van Niekerk, F.D. Ferreira, M.G. UCTD Heteroscedastic volatility South African financial markets Dissertation MSc)--University of Pretoria, 1999. We investigate the issues surrounding linear time series models. Our specific interest is in stationary time series models and difference equations. We derive an analytical expression for the inverse of the matrix F characterising such difference equations using Vandermonde's matrix theory. We use these results to discuss the homoscedastic ARMA and heteroscedastic ARCH and GARCH type time series models. Finally we use the ARCH and GARCH type models to construct various asymmetric news impact curves for South African financial time series. Mathematics and Applied Mathematics MSc Unrestricted 2022-01-12T06:00:24Z 2022-01-12T06:00:24Z 19/8/2021 1999 Dissertation * http://hdl.handle.net/2263/83220 en © 2021 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Heteroscedastic volatility South African financial markets Financial time series with heteroscedastic volatility in the South African financial markets |
| title | Financial time series with heteroscedastic volatility in the South African financial markets |
| title_full | Financial time series with heteroscedastic volatility in the South African financial markets |
| title_fullStr | Financial time series with heteroscedastic volatility in the South African financial markets |
| title_full_unstemmed | Financial time series with heteroscedastic volatility in the South African financial markets |
| title_short | Financial time series with heteroscedastic volatility in the South African financial markets |
| title_sort | financial time series with heteroscedastic volatility in the south african financial markets |
| topic | UCTD Heteroscedastic volatility South African financial markets |
| url | http://hdl.handle.net/2263/83220 |