Modelling stock return volatility dynamics in selected African markets
- Authors: King, Daniel , Botha, Ferdi
- Date: 2015
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/396104 , vital:69150 , xlink:href=" https://doi.org/10.1016/j.econmod.2014.11.008"
- Description: This paper examines whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002–2012. In the univariate portion of the paper, the performances of various Markov-switching models are tested against a single-state benchmark model through the use of in-sample goodness-of-fit and predictive ability measures. In the multivariate context, the single-state and Markov-switching models are comparatively assessed according to their usefulness in constructing optimal stock portfolios. Accounting for structural breaks in the conditional variance process, conventional GARCH effects remain important in capturing heteroscedasticity. However, those univariate models including a GARCH term perform comparatively poorly when used for forecasting purposes. In the multivariate study, the use of Markov-switching variance–covariance estimates improves risk-adjusted portfolio returns relative to portfolios constructed using the more conventional single-state models. While there is evidence that some Markov-switching models can provide better forecasts and higher risk-adjusted returns than those models which include GARCH effects, the inability of the simpler Markov-switching models to fully capture heteroscedasticity in the data remains problematic.
- Full Text:
- Date Issued: 2015
- Authors: King, Daniel , Botha, Ferdi
- Date: 2015
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/396104 , vital:69150 , xlink:href=" https://doi.org/10.1016/j.econmod.2014.11.008"
- Description: This paper examines whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002–2012. In the univariate portion of the paper, the performances of various Markov-switching models are tested against a single-state benchmark model through the use of in-sample goodness-of-fit and predictive ability measures. In the multivariate context, the single-state and Markov-switching models are comparatively assessed according to their usefulness in constructing optimal stock portfolios. Accounting for structural breaks in the conditional variance process, conventional GARCH effects remain important in capturing heteroscedasticity. However, those univariate models including a GARCH term perform comparatively poorly when used for forecasting purposes. In the multivariate study, the use of Markov-switching variance–covariance estimates improves risk-adjusted portfolio returns relative to portfolios constructed using the more conventional single-state models. While there is evidence that some Markov-switching models can provide better forecasts and higher risk-adjusted returns than those models which include GARCH effects, the inability of the simpler Markov-switching models to fully capture heteroscedasticity in the data remains problematic.
- Full Text:
- Date Issued: 2015
Life satisfaction and education in South Africa: Investigating the role of attainment and the likelihood of education as a positional good
- Authors: Botha, Ferdi
- Date: 2014
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/396091 , vital:69149 , xlink:href="https://doi.org/10.1007/s11205-013-0452-2"
- Description: This paper explores various dynamics in the relationship between life satisfaction and education in South Africa using the 2008 National Income Dynamics Survey. The results indicate a strong positive association between educational attainment and individual satisfaction with life, which is true in the overall sample and for men and women. This positive relationship also holds for Black and Coloured individuals, but is insignificant in the Asian and White samples. Evidence indicates that education is a positional good, in that people who have attained more than the mean level of education in their relevant cluster are significantly more satisfied with life compared to those possessing less than the mean education.
- Full Text:
- Date Issued: 2014
- Authors: Botha, Ferdi
- Date: 2014
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/396091 , vital:69149 , xlink:href="https://doi.org/10.1007/s11205-013-0452-2"
- Description: This paper explores various dynamics in the relationship between life satisfaction and education in South Africa using the 2008 National Income Dynamics Survey. The results indicate a strong positive association between educational attainment and individual satisfaction with life, which is true in the overall sample and for men and women. This positive relationship also holds for Black and Coloured individuals, but is insignificant in the Asian and White samples. Evidence indicates that education is a positional good, in that people who have attained more than the mean level of education in their relevant cluster are significantly more satisfied with life compared to those possessing less than the mean education.
- Full Text:
- Date Issued: 2014
The gold of one’s ring is not far more precious than the gold of one’s heart: Reported life satisfaction among married and cohabitating South African adults
- Botha, Ferdi, Booysen, Frikkie
- Authors: Botha, Ferdi , Booysen, Frikkie
- Date: 2013
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/396181 , vital:69156 , xlink:href=" https://doi.org/10.1007/s10902-012-9337-3"
- Description: This paper tests for differences in reported life satisfaction between married and cohabiting persons, i.e. the cohabitation gap, and in particular whether selection factors can explain the cohabitation gap. The paper also explores whether age at marriage and at start of cohabitation as well as the duration of relationship type matters for subjective well-being. Based on statistical and regression analysis of the 2008 National Income Dynamics Survey, married and cohabiting persons exhibit some differences in their respective determinants of life satisfaction. While the age at relationship commencement has no relationship with well-being, there is evidence to suggest that married people become more satisfied at a later stage in marriage, while cohabitants are more satisfied initially. A significant cohabitation gap exists (0.251), but after controlling for various selection factors, the cohabitation gap virtually disappears (0.042) and becomes insignificant, which suggests that marriage and cohabitation are very similar in South Africa. Relative income, absolute income, and education explain the largest part of the cohabitation gap. Against the global backdrop of an increasing trend towards cohabitation and declining marriage rates, the overall results of this paper suggest that, since a cohabitation gap no longer exists after controlling for selection factors, South Africans may as well not go the “official route” of entering into marriage, as cohabitation provides similar benefits in terms of its contribution to individual satisfaction with life.
- Full Text:
- Date Issued: 2013
- Authors: Botha, Ferdi , Booysen, Frikkie
- Date: 2013
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/396181 , vital:69156 , xlink:href=" https://doi.org/10.1007/s10902-012-9337-3"
- Description: This paper tests for differences in reported life satisfaction between married and cohabiting persons, i.e. the cohabitation gap, and in particular whether selection factors can explain the cohabitation gap. The paper also explores whether age at marriage and at start of cohabitation as well as the duration of relationship type matters for subjective well-being. Based on statistical and regression analysis of the 2008 National Income Dynamics Survey, married and cohabiting persons exhibit some differences in their respective determinants of life satisfaction. While the age at relationship commencement has no relationship with well-being, there is evidence to suggest that married people become more satisfied at a later stage in marriage, while cohabitants are more satisfied initially. A significant cohabitation gap exists (0.251), but after controlling for various selection factors, the cohabitation gap virtually disappears (0.042) and becomes insignificant, which suggests that marriage and cohabitation are very similar in South Africa. Relative income, absolute income, and education explain the largest part of the cohabitation gap. Against the global backdrop of an increasing trend towards cohabitation and declining marriage rates, the overall results of this paper suggest that, since a cohabitation gap no longer exists after controlling for selection factors, South Africans may as well not go the “official route” of entering into marriage, as cohabitation provides similar benefits in terms of its contribution to individual satisfaction with life.
- Full Text:
- Date Issued: 2013
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