{"id":3661,"date":"2024-06-19T11:50:44","date_gmt":"2024-06-19T09:50:44","guid":{"rendered":"https:\/\/nepttp.avidakizomba.co.za\/?p=3661"},"modified":"2025-06-09T12:12:52","modified_gmt":"2025-06-09T10:12:52","slug":"volatility-estimate-of-telkom-shares-under-garch-models","status":"publish","type":"post","link":"https:\/\/www.escience.ac.za\/index.php\/2024\/06\/19\/volatility-estimate-of-telkom-shares-under-garch-models\/","title":{"rendered":"Volatility estimate of Telkom shares under GARCH models"},"content":{"rendered":"<p><strong>Researcher:\u00a0\u00a0<\/strong>Wandile Nhlapho, University of Venda<br \/><strong>Supervisor:\u00a0<\/strong>Dr Jean-Claude Ndogmo, University of Venda<\/p><figure class=\"wp-block-embed is-type-video is-provider-youtube wp-block-embed-youtube wp-embed-aspect-16-9 wp-has-aspect-ratio\"><div class=\"wp-block-embed__wrapper\">\n<iframe title=\"Wandile Nhlapho - Volatility estimate of Telkom shares under GARCH models.\" width=\"1140\" height=\"641\" src=\"https:\/\/www.youtube.com\/embed\/a9cAZTv8zHI?feature=oembed\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" referrerpolicy=\"strict-origin-when-cross-origin\" allowfullscreen><\/iframe>\n<\/div><\/figure><p>The study compares the performance of the ARCH (1) and GARCH (1,1) models in estimating and forecasting the volatility of Telkom share prices.&nbsp; The Telkom shares are estimated using daily data and the above-mentioned volatility models. We estimate our models using the normal (Gaussian), student t, and generalized error (GED) distributions to determine which distribution best fits our models. Log-likelihood, Schwarz information criterion, Hannan-Quinn information criterion, and Akaike information criterion were utilized to evaluate those distributions. We forecasted our models using the distribution with the lowest Akaike, Schwarz, Hannan-Quinn, and log-likelihood values. Theil\u2019s inequality coefficient, mean absolute error, and root squared mean error are three forecasting evaluation measures used to assess the model\u2019s forecasting performance.<\/p><figure class=\"wp-block-image size-full\"><img fetchpriority=\"high\" decoding=\"async\" width=\"736\" height=\"959\" src=\"https:\/\/nepttp.avidakizomba.co.za\/wp-content\/uploads\/2024\/10\/Wandile-Nhlapho.png\" alt=\"\" class=\"wp-image-3662\" srcset=\"https:\/\/www.escience.ac.za\/wp-content\/uploads\/2024\/10\/Wandile-Nhlapho.png 736w, https:\/\/www.escience.ac.za\/wp-content\/uploads\/2024\/10\/Wandile-Nhlapho-600x782.png 600w, https:\/\/www.escience.ac.za\/wp-content\/uploads\/2024\/10\/Wandile-Nhlapho-230x300.png 230w\" sizes=\"(max-width: 736px) 100vw, 736px\" \/><\/figure><p><br \/><\/p>","protected":false},"excerpt":{"rendered":"<p>Researcher:\u00a0\u00a0Wandile Nhlapho, University of VendaSupervisor:\u00a0Dr Jean-Claude Ndogmo, University of Venda The study compares the performance of the ARCH (1) and GARCH (1,1) models in estimating and forecasting the volatility of Telkom share prices.&nbsp; The Telkom shares are estimated using daily data and the above-mentioned volatility models. We<\/p>\n","protected":false},"author":1,"featured_media":4385,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10],"tags":[],"class_list":["post-3661","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-capstone-projects"],"_links":{"self":[{"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/posts\/3661","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/comments?post=3661"}],"version-history":[{"count":1,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/posts\/3661\/revisions"}],"predecessor-version":[{"id":4386,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/posts\/3661\/revisions\/4386"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/media\/4385"}],"wp:attachment":[{"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/media?parent=3661"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/categories?post=3661"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/tags?post=3661"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}