Analysis of Volatility transmission across South African Financial Markets

Jaramba, Toddy and Fadiran, Gideon (2009): Analysis of Volatility transmission across South African Financial Markets.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: GARCH; TARCH; EGARCH–in mean; Vector Autoregressive; Volatility transmission; financial markets.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

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