Volatility correlations between short and long-term interest rates in South Africa


By Albert P. Petja

Volatility correlations of short- and long-term interest rates are investigated using the diagonal VECH and BEKK models. The data covers a period of 10 years at weekly frequencies obtained from the Reserve bank of South Africa website.

Albert Pogiso Petja is a Master of Commerce in Investment Management graduate with an interest and experience in financial analysis and research. As academic assistant at the University of Johannesburg, I had the opportunity to work as part of the research unit within the Department of Finance and Investment Management conducting and writing research articles in the field of Investment Management.