Asymmetry and long-memory volatility: Some empirical evidence using GARCH
This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991-2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The daily...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
ELSEVIER SCIENCE BV
2007
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| Subjects: | |
| Online Access: | http://shdl.mmu.edu.my/3139/ |