A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility

QR Code

A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility

In this paper we aim to test the usefulness of two variants of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family-type models in estimating stock returns volatility for three Asian markets namely- Kuala Lumpur Composite Index (KLCI) of Malaysia, Straits Times Index (STI) of Sin...

Full description

Bibliographic Details
Main Author:	Islam, Mohd Aminul
Format:	Article
Language:	English
Published:	Research Academy of Social Sciences 2014
Subjects:	HG4001 Financial management. Business finance. Corporation finance.
Online Access:	http://irep.iium.edu.my/37649/ http://irep.iium.edu.my/37649/1/IJEF_2014.pdf

Similar Items

Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
by: Haron, Razali, et al.
Published: (2017)

Estimation of dynamic conditional correlations of Shariah-compliant stock indices through the application of multivariate GARCH approach
by: Saiti, Buerhan, et al.
Published: (2013)

Prediction of stock price using neural network
by: Jalunis, Fatmawati, et al.
Published: (2011)

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

The impact of GST implementation on the Malaysian stock market index volatility: an empirical approach
by: Haron, Razali, et al.
Published: (2018)

An empirical assessment of the impact of Development Financial Institutions (DFIs) on Malaysian economy
by: Islam, Mohd Aminul
Published: (2015)

Comparison between conventional and Islamic bond in Malaysia
by: Bahaludin, Hafizah, et al.
Published: (2011)

Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
by: Haron, Razali, et al.
Published: (2015)

Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
by: Saiti, Buerhan
Published: (2014)

Stock market screening: An analogical study on conventional and shariah-compliant stock markets
by: Zandi, Gholamreza Reza, et al.
Published: (2014)

The effect of ownership structure on initial return and post-listing liquidity: evidence from Bursa Malaysia
by: Ramlee, Roslily, et al.
Published: (2014)

Short selling and stock returns: evidence from the UK
by: Mohamad, Azhar, et al.
Published: (2013)

Short selling and stock returns: evidence from the UK
by: Mohamad, Azhar, et al.
Published: (2011)

Islamic perspective of stock market an analysis based on Shari`ah principles
by: Osmani, Noor Mohammad, et al.
Published: (2009)

Financial performance of Islamic banking and conventional banking in Malaysia
by: Yaakob, Nurhafizah, et al.
Published: (2011)

A hierarchical model to enhance financial and strategic performance of an oil and gas company in Malaysia
by: Krishnan, Deven, et al.
Published: (2019)

Increase in Short Interest and Predictability in Stock Returns (Infiniti 2011)
by: Mohamad, Azhar, et al.
Published: (2011)

Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003)

Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003)

Short interest and stock returns: evidence from the UK (Gregynog 2011).
by: Mohamad, Azhar
Published: (2011)

PhD proposal (Gregynog 2010): short selling and stock returns
by: Mohamad, Azhar
Published: (2010)

PhD proposal (BAA Doctoral Colloquium Cardiff 2010): short selling and stock returns
by: Mohamad, Azhar
Published: (2010)

The relationship between capital structure and performance of Islamic banks
by: Tarek Al-Kayed, Lama, et al.
Published: (2014)

Corporate boards and performance pricing in private debt contracts
by: Abu Bakar, Intan Suryani, et al.
Published: (2018)

Ratio analysis: Bank Islam Malaysia Berhad (BIMB) & Malayan Banking Berhad (MAYBANK)
by: Kamaruddin, Nurul Hidayah, et al.
Published: (2011)

Corporate governance and firm performance in an emerging market: the case of Malaysian firms
by: Haron, Razali, et al.
Published: (2020)

Optimal hedge ratio and the hedging performance of commodity futures: the case of Malaysian crude palm oil futures market
by: Islam, Mohd Aminul
Published: (2017)

The effects of corporate governance attributes and code amendments on the performance of Malaysian trading and services firms
by: Laallam, Abdelkader, et al.
Published: (2017)

The linkage between board of directors characteristics, distinct business environments and organizations financial performance
by: Haron, Razali, et al.
Published: (2009)

How director remuneration impacts firm performance: an empirical analysis of executive director remuneration in Pakistan
by: azlam, ejaz, et al.
Published: (2019)

Board of directors, strategic control and corporate financial performance of Malaysian listed construction and technology companies: an empirical analysis
by: Haron, Razali, et al.
Published: (2008)

Blockholders and firm performance: a Malaysian evidence
by: Mokhtar, Imani, et al.
Published: (2018)

Governance, ownership and performance of government-linked and non-government companies: a comparative study of public listed companies in Malaysia, India and Singapore
by: D. Sundarasen, Sheela Devi, et al.
Published: (2014)

Modelling debt financing behaviour of Malaysia SMEs
by: Haron, Razali
Published: (2015)

Implied transaction costs by Leland option pricing model: a new approach and empirical evidence
by: Li, Steven, et al.
Published: (2012)

Impact of Fii in recent stock market volatility / D. S. Selvakumar
by: D. S., Selvakumar
Published: (2010)

The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)
by: Haron, Razali
Published: (2006)

The problems facing agricultural sector in Zanzibar and the prospects of Waqf-Muzar’ah-Supply Chain Model: the case of clove industry
by: Moh’d, Issa Salim, et al.
Published: (2017)

Revisiting the principles of Gharar in Islamic banking financing instruments with special reference to Bay al-Inah and Bay al-Dayn towards a new modified model
by: Razali, Siti Salwani
Published: (2011)

An empirical evaluation of hedging effectiveness of crude palm oil futures market in Malaysia
by: Islam, Mohd Aminul
Published: (2017)