Volatility forecasting and value-at-risk estimation in emerging markets: the case of the stock market index portfolio in South Africa
Accurate modelling of volatility is important as it relates to the forecasting of Value-at-Risk (VaR). The RiskMetrics model to forecast volatility is the benchmark in the financial sector. In an important regulatory innovation, the Basel Committee has proposed the use of an internal method for mode...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2011-04-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/184 |