Dr Jan Jakub Szczygielski, a lecturer in the Department of Financial Management, recently presented a paper entitled ‘An investigation into the properties of returns and variance and the implications for time series modelling’. The paper was co-authored with Prof Chimwemwe Chipeta from the University of the Witwatersrand and presented at the Southern African Finance Association conference that took place in January 2019 at the University of Cape Town’s Graduate School of Business.
Dr Szczygielski explains that the paper investigates the properties of South African stock market returns and the structure of variance. “Analysis is undertaken using model-free and model-based approaches. As with other markets, returns on the South African stock market depart from normality and variance displays evidence of time-variation, long memory, persistence and asymmetry,” he says.
In light of the findings relating to the properties of stock returns and structure of variance, implications are outlined and recommendations on how time-series specifications may be estimated are made.
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