ANALYSING VOLATILITY IN EQUITY INDICES

Authors

  • K.S. Madhava Rao Department of Statistics, University of Botswana
  • K.K. Moseki Department of Statistics, University of Botswana

DOI:

https://doi.org/10.7166/22-1-35

Keywords:

traditional econometric methods, Markov model, forecast asset returns

Abstract

ENGLISH ABSTRACT: TIn financial economics, forecasting volatility in stock indices and currency returns has received considerable attention in the last two decades. Many traditional econometric methods forecast asset returns by a point prediction of volatility. The central contribution of this paper is to suggest an alternative approach for modelling and related analysis of asset returns. In this approach, the volatility in stock returns is defined in terms of categories depending on the mean of stock returns and its standard error. This classification naturally allows the study of volatility in terms of a Markov model. The approach suggested here will be of interest to academics, stock market investors, and analysts.

AFRIKAANSE OPSOMMING: Op die terrein van die finansi

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Published

2011-11-05

How to Cite

Madhava Rao, K., & Moseki, K. (2011). ANALYSING VOLATILITY IN EQUITY INDICES . The South African Journal of Industrial Engineering, 22(1). https://doi.org/10.7166/22-1-35

Issue

Vol. 22 No. 1 (2011)

Section

General Articles

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