Analysis of Volatility transmission across South African Financial Markets

Toddy Jaramba and Gideon Fadiran

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyses volatility transmission across four South African financial markets, using daily data for the period 2000-2009. These are the stock, bond, money and foreign exchange markets. The paper applies the TARCH procedure to the returns from the South African financial markets in order to estimate the cross-market volatility transmission. Results show that volatility transmission exists in South African financial markets on a weak form, with each market explaining its own volatility. The paper found transmission between stocks market and foreign exchange, and between foreign exchange and bond markets.

Keywords: GARCH; TARCH; EGARCH–in mean; Vector Autoregressive; Volatility transmission; financial markets. (search for similar items in EconPapers)
JEL-codes: C58 G1 G12 (search for similar items in EconPapers)
Date: 2009-10-01, Revised 2017-03-16
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https://mpra.ub.uni-muenchen.de/77769/1/MPRA_paper_77592.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:77592

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