Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model

Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model

This article investigated the influences of structural breaks on the fractionally integrated time-varying volatility model in the Malaysian stock markets which included the Kuala Lumpur composite index and four major sectoral indices. A fractionally integrated time-varying volatility model combined...

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Bibliographic Details
Main Author: CHEONG, C
Format: Article
Published: ELSEVIER SCIENCE BV 2008
Subjects:
T Technology (General)
QC Physics
Online Access:http://shdl.mmu.edu.my/2771/

Internet

http://shdl.mmu.edu.my/2771/

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