Applying generalized autoregressive conditional heteroscedasticity models to model univariate volatility

QR Code

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...

Full description

Bibliographic Details
Main Author:	Islam, Mohd Aminul
Format:	Article
Language:	English English
Published:	Asian Network for Scientific Information 2014
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	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

Similar Items

Modeling univariate volatility of stock returns using stochastic GARCH models:Evidence from 4-Asian markets
by: Islam, Mohd Aminul
Published: (2013)

Estimating volatility of stock index returns by using symmetric Garch models
by: Islam, Mohd Aminul
Published: (2013)

Modeling volatility using GARCH (1, 1) Model: The case of Kuala Lumpur Composite Index (KLCI)
by: Islam, Mohd Aminul
Published: (2013)

Modelling the conditional variance and asymmetric response to past shocks in the Malaysian bond market
by: Rahman, Maya Puspa, et al.
Published: (2015)

Implied volatility and contagion in the options market
by: Prima Sakti, Muhammad Rizky, et al.
Published: (2014)

Stock performance analysis between Malaysian Airlines System Berhad and Airasia Berhad
by: Ibrahim, Izleen, et al.
Published: (2011)

Analysis of crude palm oil futures prices traded on Bursa Malaysia
by: Ahmad, Norfaieqah, et al.
Published: (2011)

Crude palm oil market volatility: Malaysian evidence
by: Haron, Razali, et al.
Published: (2014)

Implied volatility forecasting in the options market: a survey
by: Mohamad, Azhar
Published: (2016)

An empirical test of implied volatility in Singaporean structured warrants
by: Samsudin, Najmi Ismail Murad, et al.
Published: (2018)

Hedging performance of futures contracts: The case of FTSE BMKLCI futures and the CPO futures contracts in Malaysia
by: Islam, Mohd Aminul, et al.
Published: (2018)

Estimating Hedge Ratio and The Hedging Effectiveness of Stock Index Futures Contract
by: Islam, Mohd Aminul, et al.
Published: (2014)

The effect of GST announcement on stock market volatility: evidence from intraday data
by: Haron, Razali, et al.
Published: (2019)

Diversification benefits in energy, metal and agricultural commodities for Islamic investors: evidence from dynamic conditional correlations
by: Dahiru, Abdulnasir, et al.
Published: (2017)

Correlation studies on equity markets using linear regression model - Malaysia developing and developed markets
by: Haron, Razali, et al.
Published: (2006)

Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets
by: Haron, Razali, et al.
Published: (2006)

Estimating constant and time varying hedge ratios of Crude palm Oil futures (CPO) Contracts in Malaysia
by: Islam, Mohd Aminul
Published: (2016)

Constant & time-varying hedge ratio for FBMKLCI stock index futures
by: Islam, Mohd Aminul
Published: (2016)

Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market
by: Quadry, Mahmud Oluwaseyi, et al.
Published: (2016)

Investigation of industrial herding in Malaysia
by: Mohd Nasarudin, Ahmad Fawwaz
Published: (2018)

Investigation of herding behavior in developed and developing countries: Does country governance factor matters?
by: Mohd Nasarudin, Ahmad Fawwaz, et al.
Published: (2017)

Factors influencing the excess returns of Sukuk: an empirical analysis on USD denominated Sukuk issued by corporations in the Gulf Cooperation Council Countries (GCC)
by: Rahman, Maya Puspa, et al.
Published: (2015)

Empirical study of herding behavior impacts on South Asia Nation
by: Alom, Shahedin, et al.
Published: (2019)

Investigation of herding behaviour in developed and developing countries: does country governance factor matters?
by: Mohd Nasarudin, Ahmad Fawwaz, et al.
Published: (2017)

The existence of insider trading in Malaysia: an event study approach
by: Yusof, Abdul Hafiz, et al.
Published: (2013)

Transparency in the assessment of Takaful claims for construction works loss & damage
by: Mohd Fauzi, Puteri Nur Farah Naadia, et al.
Published: (2016)

Corporate governance and insider trading: evidence from Malaysia
by: Ahmad Kamal, Siti Aisyah, et al.
Published: (2018)

Information content of analysts' report: a literature survey
by: Mohd Thas Thaker, Hassanudin, et al.
Published: (2018)

Herding behavior and information effect of firm's ownership
by: Mohd Nasarudin, Ahmad Fawwaz, et al.
Published: (2017)

Information content and informativeness of analysts’ report: evidence from Malaysia
by: Mohd Thas Thaker, Hassanudin, et al.
Published: (2019)

A qualitative inquiry into the issues of information content of analysts' report: Evidence from Malaysia
by: Thas Thaker, Hassanudin Mohd, et al.
Published: (2017)

Heads we win, tails you lose: Is there equity in Islamic equity funds?
by: Mustaffa Kamil, Nazrol Kamil, et al.
Published: (2014)

The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
by: Saiti, Buerhan, et al.
Published: (2014)

Long-run relationship between Malaysian crude palm oil spot and futures market
by: Salami, Mansurat Ayojimi, et al.
Published: (2014)

Short-selling ban and cross-sectoral contagion: evidence from the UK
by: Mohamad, Azhar, et al.
Published: (2014)

The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
by: Abdullah, Ahmad Monir, et al.
Published: (2016)

Short-selling ban and cross-sectoral contagion: evidence from the UK
by: Mohamad, Azhar, et al.
Published: (2015)

Order imbalance and selling aggression under a shorting ban: Evidence from the UK
by: Mohammad Sifat, Imtiaz, et al.
Published: (2015)

Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2016)

Creating a two-way market via short selling and its potential use in the Islamic paradigm
by: Mohamad, Azhar
Published: (2015)