Modeling univariate volatility of stock returns using stochastic GARCH models:Evidence from 4-Asian markets

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Modeling univariate volatility of stock returns using stochastic GARCH models:Evidence from 4-Asian markets

This paper applies the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to the financial time series (stock index returns) in four Asian markets namely; Kuala Lumpur Composite Index (KLCI) of Malaysia, the Straits Times Index (STI) of Singapore, Nikkei Indices (N225) of Japan...

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Bibliographic Details
Main Author:	Islam, Mohd Aminul
Format:	Article
Language:	English
Published:	INSI Publications 2013
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/33419/ http://irep.iium.edu.my/33419/1/AJBAS_Published_294-303.pdf

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