Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index

Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index

This article study the influences of structural break to the fractionally integrated time-varying volatility model in Malaysian stock markets from year 1996 to 2006. A fractionally integrated autoregressive conditional heteroscedastic (FIGARCH) model combines with sudden changes of volatility is dev...

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Bibliographic Details
Main Authors: Chin Wen, Cheong, Zaidi, Isa, Abu Hassan Shaari , Mohd Nor
Format: Article
Published: UNIV KEBANGSAAN MALAYSIA 2008
Subjects:
T Technology (General)
Q Science (General)
Online Access:http://shdl.mmu.edu.my/2004/

Internet

http://shdl.mmu.edu.my/2004/

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