Applying generalized autoregressive conditional heteroscedasticity models to model univariate volatility
This paper aims to model volatility of daily index returns for four Asian markets namely; Kuala Lumpur Composite Index of Malaysia, Jakarta Stock Exchange Composite Index of Indonesia, Straits Times Index of Singapore and the Stock Index of Korea over the period 03/01/2007 – 31/07/2013 excluding the...
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| Format: | Article |
| Language: | English English |
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Asian Network for Scientific Information
2014
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| Online Access: | http://irep.iium.edu.my/36034/ http://irep.iium.edu.my/36034/ http://irep.iium.edu.my/36034/ http://irep.iium.edu.my/36034/1/59767-59767_JAS.pdf http://irep.iium.edu.my/36034/4/JAS_Published_Article.pdf |