scholarly journals Estimating the value-at-risk of JSE indices and South African exchange rate with Generalized Pareto and stable distributions

2021 ◽  
Vol 18 (3) ◽  
pp. 151-165
Author(s):  
Kimera Naradh ◽  
Knowledge Chinhamu ◽  
Retius Chifurira
Keyword(s):  
Exchange Rate ◽  
South African ◽  
Value At Risk ◽  
Type Model ◽  
Ratio Test ◽  
Financial Industry ◽  
The South ◽  
Generalized Pareto ◽  
Better Than ◽  
Sd Model

South Africa’s economy has faced many downturns in the previous decade, and to curb the spread of the novel SARS-CoV-2, the lockdown brought South African financial markets to an abrupt halt. Therefore, the implementation of risk mitigation approaches is becoming a matter of urgency in volatile markets in these unprecedented times. In this study, a hybrid generalized autoregressive conditional heteroscedasticity (GARCH)-type model combined with heavy-tailed distributions, namely the Generalized Pareto Distribution (GPD) and the Nolan’s S0-parameterization stable distribution (SD), were fitted to the returns of three FTSE/JSE indices, namely All Share Index (ALSI), Banks Index and Mining Index, as well as the daily closing prices of the US dollar against the South African rand exchange rate (USD/ZAR exchange rate). VaR values were estimated and back-tested using the Kupiec likelihood ratio test. The results of this study show that for FTSE/JSE ALSI returns, the hybrid exponential GARCH (1,1) model with SD model (EGARCH(1,1)-SD) outperforms the GARCH-GPD model at the 2.5% VaR level. At VaR levels of 95% and 97.5%, the fitted GARCH (1,1)-SD model for FTSE/JSE Banks Index returns performs better than the GARCH (1,1)-GPD. The fitted GARCH (1,1)-SD model for FTSE/JSE Mining Index returns is better than the GARCH (1,1)-GPD at 5% and 97.5% VaR levels. Thus, this study suggests that the GARCH (1,1)-SD model is a good alternative to the VaR robust model for modeling financial returns. This study provides salient results for persons interested in reducing losses or obtaining a better understanding of the South African financial industry.

scholarly journals Covered interest arbitrage opportunities in the South African foreign exchange market

1987 ◽  
Vol 18 (4) ◽  
pp. 209-214
Author(s):  
C. De J. Correia ◽  
R. F. Knight
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
South African ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
The South ◽  
Dollar Exchange Rate ◽  
Interest Parity ◽  
Interest Differential

The Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount. Therefore, opportunities to engage in profitable Covered Interest Arbitrage transactions will be eliminated quickly. The fall in the Rand/Dollar exchange rate resulted in many South African companies reporting substantial foreign exchange losses on offshore loans. Companies were attracted to foreign sources of finance because of lower foreign interest rates. The authors conclude, on the basis of empirical tests, that the forward Rand/Dollar exchange rate followed its interest parity value very closely over the period August 1983 - August 1985. Opportunities to engage in risk-free arbitrage activities were offset by related transaction costs. The South African foreign exchange market is efficient to the extent that risk-free profit opportunities did not exist for the period under review and therefore there was no benefit, after adjusting for risk, for South African management to borrow from offshore sources of finance.

Fifth-Year Performance of Progenies of Selected South African Slash and Loblolly Pine Clones

1981 ◽  
Vol 5 (2) ◽  
pp. 62-65
Author(s):  
John F. Kraus ◽  
Earl R. Sluder
Keyword(s):  
South African ◽  
Pinus Taeda ◽  
Loblolly Pine ◽  
Tree Improvement ◽  
Slash Pine ◽  
The South ◽  
Improvement Program ◽  
Seed Orchards ◽  
Pinus Taeda L ◽  
Better Than

Abstract Control-pollinated polymix progenies of 9 slash pine (P. elliottii Engelm.) and 10 loblolly (Pinus taeda L.) pine from some of the best clones in a South African tree improvement program were tested in Georgia. Overall, the progenies of the South African selections in both species have done well after five years in the field. One of the slash pine and three of the loblolly pine families were better than open-pollinated progeny from established seed orchards.

scholarly journals PREVENTION IS BETTER THAN CURE: Addressing violent crime in South Africa

2006 ◽  
Author(s):  
Sibusiso Masuku
Keyword(s):  
Risk Factors ◽  
South Africa ◽  
South African ◽  
Violent Crime ◽  
The South ◽  
Police Service ◽  
Factors Associated ◽  
South African Police Service ◽  
South African Police ◽  
Better Than

South Africa’s high levels of violent crime have a significant effect on people’s lives. A review of the trends and risk factors associated with violent crime begs the question about who should be leading the effort to prevent violence? The South African Police Service currently has this responsibility – but is this appropriate? And which other departments should be playing a greater role?

Stages of growth in the South African economy: The role of agriculture

1998 ◽  
Vol 1 (2) ◽  
pp. 204-218 ◽  
Author(s):  
R. F. Townsend ◽  
J. Van Zyl
Keyword(s):  
Exchange Rate ◽  
South African ◽  
Agricultural Sector ◽  
Agricultural Product ◽  
The South ◽  
Agricultural Industry ◽  
Stages Of Growth ◽  
Net Exports ◽  
Causality Tests

This paper identifies the stages of growth in the South African economy with particular reference to agriculture. Simple a-matrix causality tests are used to determine the direction of causality between the gross sectoral products of the economy and the gross agricultural product. The percentage share of the agricultural industry in the South African economy is relatively small and continues to decline as the economy grows. However, there has been a greater integration of agriculture within the economy during the 1990s as a result of the liberalisation of many aspects of the economy. Agriculture may have played a passive role in the economy, but has provided foreign exchange revenue from net exports to facilitate growth in other sectors of the economy. In a more decontrolled environment, the agricultural sector will become increasingly susceptible to the changes in the macroeconomy, particularly the exchange rate.

Eswatini (formerly Swaziland)

2020 ◽  
Author(s):  
Marius Schneider ◽  
Vanessa Ferguson
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
South African ◽  
Southern Africa ◽  
The South ◽  
The Common ◽  
One To One ◽  
South African Rand

Eswatini, formally known as the Kingdom of Eswatini, is a landlocked country in Southern Africa and one of the smallest countries in Africa with a total area of 17,364 square kilometres (km) and a population of 1,367 (2017). It is bordered by Mozambique and South Africa. The capital and main business centre of Eswatini is Mbabane. The working week is from Monday to Friday from 0800 to 1300 and 1400 to 1700. The Swaziland Lilangeni (SZL/ E) is the official currency of Eswatini. The Lilangeni was introduced in 1974 to compete with the South African rand through the Common Monetary Area, to which it remains tied at a one-to-one exchange rate.

Sign in / Sign up

Export Citation Format

Share Document