Evaluating South Africa’s market risk using asymmetric power auto-regressive conditional heteroscedastic model under heavy-tailed distributions

Retius Chifurira; Knowledge Chinhamu

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Crossref Citations

1. RiskMetrics method for estimating Value at Risk to compare the riskiness of BitCoin and Rand
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2. Estimating the value-at-risk of JSE indices and South African exchange rate with Generalized Pareto and stable distributions
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Investment Management and Financial Innovations vol: 18 issue: 3 first page: 151 year: 2021
doi: 10.21511/imfi.18(3).2021.14

3. The Role of Pension Fund Investments in Shaping Volatility Dynamics in South African Stock Markets
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Global Journal of Emerging Market Economies year: 2026
doi: 10.1177/09749101261452714

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