A Fusion of Statistical and Machine Learning Methods: GARCH-XGBoost for Improved Volatility Modelling of the JSE Top40 Index

Abstract excerpt

Volatility modelling is a key feature of financial risk management, portfolio optimisation, and forecasting, particularly for market indices such as the JSE Top40 Index, which serves as a benchmark for the South African stock market. This study investigates volatility modelling of the JSE Top40 Index log-returns from 2011 to 2025 using a hybrid approach that integrates statistical and machine learning techniques t...

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• Algorithms
• China
• Computer Simulation
• Deep Learning
• Forecasting
• Models, Genetic
• Multivariate Analysis
• Mutation

Identifiers and source

Literature Corpus work

573c0561-dc85-5753-a89f-8dbcf3ca53cf

DOI

10.20944/preprints202508.0247.v1