Volatility forecasting during extreme market events using the (JSE) small cap share index
Keywords:
EWMA model; GARCH (1, 1) model; historical standard deviation; volatility forecasting; extreme event; optimal lambdaAbstract
The lost decade of the JSE in small-cap companies from 2010 to 2019 as a result of a decline in investments indicated the high risk of investing in small-cap shares. The outbreak of COVID-19, had an impact on small-cap shares and the optimal lambda used throughout the analysis that was extended to 31 July 2020. For this purpose, the study aims to use the exponentially weighted moving average and the general autoregressive conditional heteroskedasticity models to forecast volatility of share price returns at the end of day n-1. Also, the study aims to determine the optimal lambda amid COVID-19. A comparison was made between the models and the use of the small-cap index (J202) was applied. The models highlighted the key weakness of the standard deviation, assigning the same weight to all share price returns in the period under analysis. The models captured share price shocks during an extreme event on December 2015 as a result of heightened political risk and on the days following the announcement made by the President Cyril Ramaphosa regarding the COVID-19 21-day lockdown whereas a negative relationship between share price returns and volatility in small-cap shares was encountered.
References
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Akhter, A., Butt, S., Chaudhary, S. and Kiyani, J., 2015. Neglected firm effect and stylized equity returns: evidence from Pakistan. International Letters of Social and Humanistic Sciences, 50, pp.100-106.
Ball, R., 2009. The global financial crisis and the efficient market hypothesis: what have we learned? Journal of Applied Corporate Finance, 21(4), pp.8-16.
Bergman, R. 2019. Lie after the JSE: the innovation of small caps in the pursuit of stakeholder value. https://www.iol.co.za Date of access: 06. Jul. 2020.
Blasques, F., Gorgi, P. and Koopman, S.J., 2017. Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting. Estimation and Forecasting.
Bollen, B., 2015. What should the value of lambda be in the exponentially weighted moving average volatility model? Applied Economics, 47(8), pp.853-860.
Bontis, N., Bart, C.K., Switzer, L.N. and Huang, Y., 2007. How does human capital affect the performance of small and mid‐cap mutual funds?. Journal of Intellectual Capital.
Botha. J. 2020. South Africa lockdown – assistance to small businesses and employees through tax system. https://www.bakermckenzie.com Date of access: 31. Aug. 2020.
Bureau of Economic Analysis. 2008. Gross Domestic Product, Third Quarter 2008 (advance). https://www.bea.gov Date of access: 26. Aug. 2020.
Burke, J. 2020. South Africa to go into 21-day lockdown on Thursday night. https://www.theguardian.com Date of access: 09. Jul. 2020.
Cacheche, L.P., Santos, J.A., Santos, E.B.A. and Akabane, G., 2015. Small investors: challenges and benefits of ipo-a case study in a small business in the region of the Capão Redondo-SP. Independent Journal of Management & Production, 6(1), pp.255-268.
Campbell, J.Y. and Lettau, M., 1999. Dispersion and volatility in stock returns: An empirical investigation (No. w7144). National Bureau of Economic Research.
Capitec bank. 2020. Capitec bank remains resilient and agile. https://www.capitecbank.co.za Date of access: 26. Aug. 2020.
Carvalho, C.M., Lopes, H.F. and McCulloch, R.E., 2018. On the long-run volatility of stocks. Journal of the American Statistical Association, 113(523), pp.1050-1069.
Chen, C.R., Lung, P.P. and Wang, F.A., 2009. Stock market mispricing: Money illusion or resale option?. Journal of Financial and Quantitative Analysis, pp.1125-1147.
Collins, T. 2020. The impacts of ‘volatility decay’ on leveraged etfs. https://realmoney.thestreet.com Date of access: 09. Jul. 2020.
Consulta. 2020. The banking sector needs to strike a balance between digital and traditional delivery channels. https://blog.consulta.co.za Date of access: 26. Aug. 2020.
Cont, R., 2007. Volatility clustering in financial markets: empirical facts and agent-based models. In Long memory in economics (pp. 289-309). Springer, Berlin, Heidelberg.
Danielsson, J., Valenzuela, M. and Zer, I., 2018. Learning from history: Volatility and financial crises. The Review of Financial Studies, 31(7), pp.2774-2805.
Dludla, N. & Mapenzauswa, S. 2016. South Africa: business confidence hit rock bottom. https://www.theafricareport.com Date of access: 1 Jul. 2020.
Ederington, L.H. and Guan, W., 2005. Forecasting volatility. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 25(5), pp.465-490.
Errais, E. and Bahri, D., 2016. Is standard deviation a good measure of volatility? The case of African markets with price limits. Annals of Economics and Finance, 17(1), pp.145-165.
Eun, C.S., Huang, W. and Lai, S., 2008. International diversification with large-and small-cap stocks. Journal of Financial and Quantitative Analysis, pp.489-523.
Fernández, V.P., 2003. Extreme value theory: value at risk and returns dependence around the world (No. 161). Centro de Economía Aplicada, Universidad de Chile.
Finance Train. 2020. Calculate historical volatility using ewma. https://financetrain.com Date of access: 05. Jul. 2020.
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Gilbert, N. 2019. Forget following the crowd, this is a long-term opportunity smart investors can capitalize on. https://cnbc.com Date of access: 26. Aug. 2020.
Gurdus, L. 2020. Small caps outperform after recessions, so ‘you have history on your side,’ money manager says. https://www.cnbc.com Date of access: 06. Jul. 2020.
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Hogg, A. 2016. BBC: Van Rooyen was with the Guptas the night before Nene was fired. https://www.biznews.com Date of access: 8. Jul. 2020.
Hulbert, M. 2020. Opinion: Why the smallest stocks may be the quickest to recover from the coronavirus crash. https://www.marketwatch.com Date of access: 12. Oct. 2020.
Imbert, F. 2019. Small-cap stocks are primed to outperform large caps over next 10 years. https://www.cnbc.com Date of access: 07. Jul. 2020.
Jooste, R. 2019. Small caps pose a significant buying opportunity. https://www.dailymaverick.co.za Date of access: 06. Jul. 2020.
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Koko, K. 2020. ‘Panic buying may disrupt SA’s food supply system.’ https://www.iol.co.za Date of access: 31. Aug. 2020.
Lapping, A. 2020. Coronavirus: Taking stock of the state of the markets. https://www.allangray.co.za Date of access: 31. Aug. 2020.
Larequad, F., 2015. Is standard deviation a good measure of volatility? the case of African markets with price limits.
Lensink, R., Hermes, N. and Murinde, V., 2000. Capital flight and political risk. Journal of international Money and Finance, 19(1), pp.73-92.
Letsoalo, M. 2015. Nhlanhla Nene removed as finance minister. https://mg.co.za Date of access: 28. Jun. 2020.
Lipper, S. 2020. Small-cap stocks don’t trust your instincts. https://www.leggmason.com Date of access: 07. Jul. 2020.
Maeko, T. & Mathe, T. 2020. The South African economy: nobody knows what happens next. https://mg.co.za Date of access: 09. Jul. 2020.
Malz. A. M. 2020. Volatility behaviour and forecasting. https://www.columbia.edu Date of access: 05. Jul. 2020.
Marais, H., 2009. The impact of the global recession on South Africa. Elcano Newsletter, (58), p.9.
Maredza, A. and Ikhide, S., 2013. Measuring the impact of the global financial crisis on efficiency and productivity of the banking system in South Africa. Mediterranean Journal of Social Sciences, 4(6), p.553.
McKay. D. 2020. Small cap mining companies may not emerge from covid-19 lockdown, says major. https://www.miningmx.com Date of access: 31. Aug. 2020.
Menkveld, A.J. and Wang, T., 2013. How do designated market makers create value for small-caps?. Journal of Financial Markets, 16(3), pp.571-603.
Milton, A. 2019. Simple, exponential and weighted moving averages. https://www.thebalance.com Date of access: 29. Aug. 2020.
Mkhize, Z. 2020. First case of covid-19 coronavirus reported in SA. https://www.ncid.ac.za Date of access: 31. Aug. 2020.
Morgan, J.P. & Reuters. 1996. RiskMetrics – technical document. https://www.msci.com Date of access: 05. Jul. 2020.
Mtemeri, T. 2019. How to diversify efficiently from South Africa. https://www.allangray.co.za Date of access: 07. Jul. 2020.
Natesan, P. & du Plessis, Prieur. 2018. What is the ideal board size? https://www.iodsa.co.za Date of access: 05. Jul. 2020.
Nilakantan, N.S., & Mistry, P. 2013. Volatility forecasting – a comparison of GARCH (1, 1) and EWMA models. https://www.researchgate.net Date of access: 02. Jul. 2020.
Odening, M. and Hinrichs, J., 2003. Using extreme value theory to estimate value-at-risk. Agricultural finance review, 63, pp.55-74.
Oyedele, A. 2015. South Africa just fired its finance minister, and now its currency is crashing. https://www.businessinsider.com Date of access: 09. Jul. 2020.
Panagiotidis, T. 2005. Market capitalization and efficiency. Does it matter? Evidence from the Athens Stock Exchange. Applied Financial Economics, 15(10), pp.707-713.
Perman, C. 2018. Dow falls 777 as market reels from house vote. https://www.cnbc.com Date of access: 05. Jul. 2020.
Plecher, H. 2020. Gross domestic product growth rate in South Africa 2021. https://www.statista.com Date of access: 04. Jul. 2020.
Reddy, K., Locke, S., Scrimgeour, F. and Gunasekarage, A. 2008. Corporate governance practices of small cap companies and their financial performance: an empirical study in New Zealand. International Journal of Business Governance and Ethics, 4(1), pp.51-78.
Reyes, M.G. 2001. Asymmetric volatility spillover in the Tokyo stock exchange. Journal of Economics and Finance, 25(2), pp.206-213.
Tinic, S.M. 1988. Anatomy of initial public offerings of common stock. The Journal of Finance, 43(4), pp.789-822.
Thune, K. 2020. Efficient Market Hypothesis (EMH). https://www.thebalance.com Date of access: 26. Aug. 2020.
Thune, K. 2020. When is the best time to invest in small cap stocks? https://www.thebalance.com Date of access: 06. Jul. 2020.
Trapin, L., 2016. Essays on extreme value theory in economics and finance.
Schwartz, J. & Zimmerman, T. 2013, The forgotten dividend payers: mid - & small-cap equities. https://www.docplayer.net Date of access: 04. Jul. 2020.
Simonson, N. Can small company bias beat the efficient market hypothesis? https://pittbusinessreview.com Date of access: 26. Aug. 2020.
Singh, A.K., Allen, D.E. and Powell, R.J., 2011. Value at risk estimation using extreme value theory.
South African Market Insights. 2019. South Africa’s Economic Progress Index (EPI) up to 2018. https://www.southafricanmi.com Date of access: 07. Jul. 2020.
StatsSA. 2010. Gross domestic product second quarter. https://www.statssa.gov.za Date of access: 22 Jun. 2020.
StatsSA. 2010. Gross domestic product third quarter. https://www.statssa.gov.za Date of access: 31 Aug. 2020.
StatsSA. 2014. Gross domestic product third quarter 2014 presentation. https://www.statssa.gov.za Date of access: 25. Jun. 2020.
StatsSA. 2015. Gross domestic product fourth quarter 2014 presentation. https://www.statssa.gov.za Date of access: 25 Jun. 2020.
Stevens, P. 2020. Why long-term investors should never sell stocks in a panic. https://www.cnbc.com Date of access: 05. Jul. 2020.
Switzer, L.N. 2010. The behaviour of small cap vs. large cap stocks in recessions and recoveries: Empirical evidence for the United States and Canada. The North American Journal of Economics and Finance, 21(3), pp.332-346.
Szylar, C. 2010. Risk Management under UCITS III/IV. 1st ed. 27-37 St George’s Road London: ISTE Ltd.
Van Vuuren, V. 2019. The lost decade of the JSE: SA small- and mid-cap shares. https://www.financialmarketsjournal.co.za Date of access: 8. Jul. 2020.
Vermeulen, F. 2018. How Capitec became South Africa’s biggest bank. https://hbr.org Date of access: 26. Aug. 2020.
Vieira, F.V., 2011. The new international financial crisis: causes, consequences and perspectives. Brazilian Journal of Political Economy, 31(2), pp.217-237.
Williams, B. 2011. GARCH (1, 1) models. https://www.math.berkeley.edu Date of access: 27. Mar. 2020.
World Health Organisation. 2020. Coronavirus disease (covid-19) pandemic. https://www.euro.who.int Date of access: 31. Aug. 2020.
Wyatt, I. 2009. The small-cap investor: secrets to winning big with small-cap stocks. John Wiley & Sons.
Akhter, A., Butt, S., Chaudhary, S. and Kiyani, J., 2015. Neglected firm effect and stylized equity returns: evidence from Pakistan. International Letters of Social and Humanistic Sciences, 50, pp.100-106.
Ball, R., 2009. The global financial crisis and the efficient market hypothesis: what have we learned? Journal of Applied Corporate Finance, 21(4), pp.8-16.
Bergman, R. 2019. Lie after the JSE: the innovation of small caps in the pursuit of stakeholder value. https://www.iol.co.za Date of access: 06. Jul. 2020.
Blasques, F., Gorgi, P. and Koopman, S.J., 2017. Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting. Estimation and Forecasting.
Bollen, B., 2015. What should the value of lambda be in the exponentially weighted moving average volatility model? Applied Economics, 47(8), pp.853-860.
Bontis, N., Bart, C.K., Switzer, L.N. and Huang, Y., 2007. How does human capital affect the performance of small and mid‐cap mutual funds?. Journal of Intellectual Capital.
Botha. J. 2020. South Africa lockdown – assistance to small businesses and employees through tax system. https://www.bakermckenzie.com Date of access: 31. Aug. 2020.
Bureau of Economic Analysis. 2008. Gross Domestic Product, Third Quarter 2008 (advance). https://www.bea.gov Date of access: 26. Aug. 2020.
Burke, J. 2020. South Africa to go into 21-day lockdown on Thursday night. https://www.theguardian.com Date of access: 09. Jul. 2020.
Cacheche, L.P., Santos, J.A., Santos, E.B.A. and Akabane, G., 2015. Small investors: challenges and benefits of ipo-a case study in a small business in the region of the Capão Redondo-SP. Independent Journal of Management & Production, 6(1), pp.255-268.
Campbell, J.Y. and Lettau, M., 1999. Dispersion and volatility in stock returns: An empirical investigation (No. w7144). National Bureau of Economic Research.
Capitec bank. 2020. Capitec bank remains resilient and agile. https://www.capitecbank.co.za Date of access: 26. Aug. 2020.
Carvalho, C.M., Lopes, H.F. and McCulloch, R.E., 2018. On the long-run volatility of stocks. Journal of the American Statistical Association, 113(523), pp.1050-1069.
Chen, C.R., Lung, P.P. and Wang, F.A., 2009. Stock market mispricing: Money illusion or resale option?. Journal of Financial and Quantitative Analysis, pp.1125-1147.
Collins, T. 2020. The impacts of ‘volatility decay’ on leveraged etfs. https://realmoney.thestreet.com Date of access: 09. Jul. 2020.
Consulta. 2020. The banking sector needs to strike a balance between digital and traditional delivery channels. https://blog.consulta.co.za Date of access: 26. Aug. 2020.
Cont, R., 2007. Volatility clustering in financial markets: empirical facts and agent-based models. In Long memory in economics (pp. 289-309). Springer, Berlin, Heidelberg.
Danielsson, J., Valenzuela, M. and Zer, I., 2018. Learning from history: Volatility and financial crises. The Review of Financial Studies, 31(7), pp.2774-2805.
Dludla, N. & Mapenzauswa, S. 2016. South Africa: business confidence hit rock bottom. https://www.theafricareport.com Date of access: 1 Jul. 2020.
Ederington, L.H. and Guan, W., 2005. Forecasting volatility. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 25(5), pp.465-490.
Errais, E. and Bahri, D., 2016. Is standard deviation a good measure of volatility? The case of African markets with price limits. Annals of Economics and Finance, 17(1), pp.145-165.
Eun, C.S., Huang, W. and Lai, S., 2008. International diversification with large-and small-cap stocks. Journal of Financial and Quantitative Analysis, pp.489-523.
Fernández, V.P., 2003. Extreme value theory: value at risk and returns dependence around the world (No. 161). Centro de Economía Aplicada, Universidad de Chile.
Finance Train. 2020. Calculate historical volatility using ewma. https://financetrain.com Date of access: 05. Jul. 2020.
Friedrich, R. 2019. A big opportunity in small companies. https://www.denkercapital.com Date of access: 07. Jul. 2020.
Friedrich, R. 2020. Investing in small caps in the current crisis – steer clear or lock down long-term rewards? https://wwwdenkercapital.com Date of access: 26. Aug. 2020.
Gilbert, N. 2019. Forget following the crowd, this is a long-term opportunity smart investors can capitalize on. https://cnbc.com Date of access: 26. Aug. 2020.
Gurdus, L. 2020. Small caps outperform after recessions, so ‘you have history on your side,’ money manager says. https://www.cnbc.com Date of access: 06. Jul. 2020.
Haasbroek, F. 2020. The impact of covid-19 on JSE listed companies. https://www.sashares.co.za Date of access: 31. Aug. 2020.
Han, M.L. and Lee, M.I.H., 2012. Optimal liquidity and economic stability (No. 12-135). International Monetary Fund.
Hogg, A. 2016. BBC: Van Rooyen was with the Guptas the night before Nene was fired. https://www.biznews.com Date of access: 8. Jul. 2020.
Hulbert, M. 2020. Opinion: Why the smallest stocks may be the quickest to recover from the coronavirus crash. https://www.marketwatch.com Date of access: 12. Oct. 2020.
Imbert, F. 2019. Small-cap stocks are primed to outperform large caps over next 10 years. https://www.cnbc.com Date of access: 07. Jul. 2020.
Jooste, R. 2019. Small caps pose a significant buying opportunity. https://www.dailymaverick.co.za Date of access: 06. Jul. 2020.
JSE. 2020. FTSE, JSE Africa index series. https://www.jse.co.za Date of access: 06. Jul. 2020.
JSE. 2020. Small, medium and large caps. https://www.jse.co.za Date pf access: 06. Jul. 2020.
Khrawish, H.A., Siam, W.Z. and Jaradat, M. 2010. The relationships between stock market capitalization rate and interest rate: Evidence from Jordan. Business and Economic Horizons (BEH), 2(1232-2016-101136), pp.60-66.
Kiewit, L., Harper, P., Macupe, B., Saba, Athandiwe. and Smit, S. 2020. Ramaphosa announces 21-day lockdown to curb covid-19. https://www.mg.co.za Date of access: 31. Aug. 2020.
Koko, K. 2020. ‘Panic buying may disrupt SA’s food supply system.’ https://www.iol.co.za Date of access: 31. Aug. 2020.
Lapping, A. 2020. Coronavirus: Taking stock of the state of the markets. https://www.allangray.co.za Date of access: 31. Aug. 2020.
Larequad, F., 2015. Is standard deviation a good measure of volatility? the case of African markets with price limits.
Lensink, R., Hermes, N. and Murinde, V., 2000. Capital flight and political risk. Journal of international Money and Finance, 19(1), pp.73-92.
Letsoalo, M. 2015. Nhlanhla Nene removed as finance minister. https://mg.co.za Date of access: 28. Jun. 2020.
Lipper, S. 2020. Small-cap stocks don’t trust your instincts. https://www.leggmason.com Date of access: 07. Jul. 2020.
Maeko, T. & Mathe, T. 2020. The South African economy: nobody knows what happens next. https://mg.co.za Date of access: 09. Jul. 2020.
Malz. A. M. 2020. Volatility behaviour and forecasting. https://www.columbia.edu Date of access: 05. Jul. 2020.
Marais, H., 2009. The impact of the global recession on South Africa. Elcano Newsletter, (58), p.9.
Maredza, A. and Ikhide, S., 2013. Measuring the impact of the global financial crisis on efficiency and productivity of the banking system in South Africa. Mediterranean Journal of Social Sciences, 4(6), p.553.
McKay. D. 2020. Small cap mining companies may not emerge from covid-19 lockdown, says major. https://www.miningmx.com Date of access: 31. Aug. 2020.
Menkveld, A.J. and Wang, T., 2013. How do designated market makers create value for small-caps?. Journal of Financial Markets, 16(3), pp.571-603.
Milton, A. 2019. Simple, exponential and weighted moving averages. https://www.thebalance.com Date of access: 29. Aug. 2020.
Mkhize, Z. 2020. First case of covid-19 coronavirus reported in SA. https://www.ncid.ac.za Date of access: 31. Aug. 2020.
Morgan, J.P. & Reuters. 1996. RiskMetrics – technical document. https://www.msci.com Date of access: 05. Jul. 2020.
Mtemeri, T. 2019. How to diversify efficiently from South Africa. https://www.allangray.co.za Date of access: 07. Jul. 2020.
Natesan, P. & du Plessis, Prieur. 2018. What is the ideal board size? https://www.iodsa.co.za Date of access: 05. Jul. 2020.
Nilakantan, N.S., & Mistry, P. 2013. Volatility forecasting – a comparison of GARCH (1, 1) and EWMA models. https://www.researchgate.net Date of access: 02. Jul. 2020.
Odening, M. and Hinrichs, J., 2003. Using extreme value theory to estimate value-at-risk. Agricultural finance review, 63, pp.55-74.
Oyedele, A. 2015. South Africa just fired its finance minister, and now its currency is crashing. https://www.businessinsider.com Date of access: 09. Jul. 2020.
Panagiotidis, T. 2005. Market capitalization and efficiency. Does it matter? Evidence from the Athens Stock Exchange. Applied Financial Economics, 15(10), pp.707-713.
Perman, C. 2018. Dow falls 777 as market reels from house vote. https://www.cnbc.com Date of access: 05. Jul. 2020.
Plecher, H. 2020. Gross domestic product growth rate in South Africa 2021. https://www.statista.com Date of access: 04. Jul. 2020.
Reddy, K., Locke, S., Scrimgeour, F. and Gunasekarage, A. 2008. Corporate governance practices of small cap companies and their financial performance: an empirical study in New Zealand. International Journal of Business Governance and Ethics, 4(1), pp.51-78.
Reyes, M.G. 2001. Asymmetric volatility spillover in the Tokyo stock exchange. Journal of Economics and Finance, 25(2), pp.206-213.
Tinic, S.M. 1988. Anatomy of initial public offerings of common stock. The Journal of Finance, 43(4), pp.789-822.
Thune, K. 2020. Efficient Market Hypothesis (EMH). https://www.thebalance.com Date of access: 26. Aug. 2020.
Thune, K. 2020. When is the best time to invest in small cap stocks? https://www.thebalance.com Date of access: 06. Jul. 2020.
Trapin, L., 2016. Essays on extreme value theory in economics and finance.
Schwartz, J. & Zimmerman, T. 2013, The forgotten dividend payers: mid - & small-cap equities. https://www.docplayer.net Date of access: 04. Jul. 2020.
Simonson, N. Can small company bias beat the efficient market hypothesis? https://pittbusinessreview.com Date of access: 26. Aug. 2020.
Singh, A.K., Allen, D.E. and Powell, R.J., 2011. Value at risk estimation using extreme value theory.
South African Market Insights. 2019. South Africa’s Economic Progress Index (EPI) up to 2018. https://www.southafricanmi.com Date of access: 07. Jul. 2020.
StatsSA. 2010. Gross domestic product second quarter. https://www.statssa.gov.za Date of access: 22 Jun. 2020.
StatsSA. 2010. Gross domestic product third quarter. https://www.statssa.gov.za Date of access: 31 Aug. 2020.
StatsSA. 2014. Gross domestic product third quarter 2014 presentation. https://www.statssa.gov.za Date of access: 25. Jun. 2020.
StatsSA. 2015. Gross domestic product fourth quarter 2014 presentation. https://www.statssa.gov.za Date of access: 25 Jun. 2020.
Stevens, P. 2020. Why long-term investors should never sell stocks in a panic. https://www.cnbc.com Date of access: 05. Jul. 2020.
Switzer, L.N. 2010. The behaviour of small cap vs. large cap stocks in recessions and recoveries: Empirical evidence for the United States and Canada. The North American Journal of Economics and Finance, 21(3), pp.332-346.
Szylar, C. 2010. Risk Management under UCITS III/IV. 1st ed. 27-37 St George’s Road London: ISTE Ltd.
Van Vuuren, V. 2019. The lost decade of the JSE: SA small- and mid-cap shares. https://www.financialmarketsjournal.co.za Date of access: 8. Jul. 2020.
Vermeulen, F. 2018. How Capitec became South Africa’s biggest bank. https://hbr.org Date of access: 26. Aug. 2020.
Vieira, F.V., 2011. The new international financial crisis: causes, consequences and perspectives. Brazilian Journal of Political Economy, 31(2), pp.217-237.
Williams, B. 2011. GARCH (1, 1) models. https://www.math.berkeley.edu Date of access: 27. Mar. 2020.
World Health Organisation. 2020. Coronavirus disease (covid-19) pandemic. https://www.euro.who.int Date of access: 31. Aug. 2020.
Wyatt, I. 2009. The small-cap investor: secrets to winning big with small-cap stocks. John Wiley & Sons.
Published
2021-04-19
How to Cite
Selemela, S. M., Ferreira, S., & Danny Mokatsanyane. (2021). Volatility forecasting during extreme market events using the (JSE) small cap share index: Array. Acta Universitatis Danubius. Œconomica, 17(4). Retrieved from https://dj.univ-danubius.ro/index.php/AUDOE/article/view/896
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Financial Economics
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