Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility
The performance of generalised autoregressive conditional heteroscedasticity (GARCH) model and its modifications in forecasting stock market volatility are evaluated using the rate of returns from the daily stock market indices of Kuala Lumpur Stock Exchange (KLSE). These indices include Composi...
محفوظ في:
المؤلف الرئيسي: | Choo, Wei Chong |
---|---|
التنسيق: | أطروحة |
اللغة: | English English |
منشور في: |
1998
|
الموضوعات: | |
الوصول للمادة أونلاين: | http://psasir.upm.edu.my/id/eprint/11298/1/FSAS_1998_1_A.pdf |
الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
|
مواد مشابهة
-
Asymmetry, heavy-tailedness, and structural breaks in garch class of volatility models : an application in GCC stock market /
بواسطة: Alfreedi, Ajab Abdullah -
Market Efficiency in the Kuala Lumpur Stock Exchange:
Further Evidence Using Garch Model
بواسطة: Aru Bol, Victoria Samuel
منشور في: (2001) -
Price to earnings ratio, market to book value ratio, and size effect in Kuala Lumpur Stock Exchange /
بواسطة: Bai, Jiandong -
A study on the separation of the Singapore and Malaysian stock markets /
بواسطة: Yu, Ching Sing
منشور في: (1996) -
International linkages of the ASEAN and developed stock markets : a multivariate garch approach /
بواسطة: Lee, Stan Shun Pinn
منشور في: (2013)