This book explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the Johannesburg Stock Exchange (JSE). The study is largely inspired by the work of Chris BrookThe volume of shares traded might be as important as the change in a market index since substantial price increases and decreases are often accompanied by heavy trading activitys (1998).The results of this study project indicate that augmenting models of volatility with measures of lagged volume leads only to fairly small improvements in forecasting performance. The report also shows that the Johannesburg Stock Exchange is vulnerable to financial turmoil in other major markets.

Kitap detayları:

ISBN-13:

978-3-8443-1328-4

ISBN-10:

3844313281

EAN:

9783844313284

Kitabın dili:

English

Yazar:

Dorbor Hagba

Sayfa sayısı:

84

Yayın tarihi:

01.03.2011

Kategori:

Olasılık teorisi, stokastik, matematiksel istatistik