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...
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| Format: | Article |
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ELSEVIER SCIENCE BV
2007
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| Online Access: | http://shdl.mmu.edu.my/3139/ |
| _version_ | 1848790244722212864 |
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| author | WENCHEONG, C HASSANSHAARIMOHDNOR, A ISA, Z |
| author_facet | WENCHEONG, C HASSANSHAARIMOHDNOR, A ISA, Z |
| author_sort | WENCHEONG, C |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | 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 index returns are adjusted for infrequent trading effect and the estimated Hurst's parameter allows us to rank the market efficiency across the periods. The leverage effect, clustering volatility and long-memory behavior of the volatility are fitted by the asymmetry GARCH models and GARCH with the inclusion of realized volatility at the final period. Across the periods, the results show the mixture of symmetry and asymmetry GARCH modeling. (c) 2006 Elsevier B.V. All rights reserved. |
| first_indexed | 2025-11-14T18:09:32Z |
| format | Article |
| id | mmu-3139 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T18:09:32Z |
| publishDate | 2007 |
| publisher | ELSEVIER SCIENCE BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-31392011-10-04T00:46:21Z http://shdl.mmu.edu.my/3139/ Asymmetry and long-memory volatility: Some empirical evidence using GARCH WENCHEONG, C HASSANSHAARIMOHDNOR, A ISA, Z T Technology (General) QC Physics 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 index returns are adjusted for infrequent trading effect and the estimated Hurst's parameter allows us to rank the market efficiency across the periods. The leverage effect, clustering volatility and long-memory behavior of the volatility are fitted by the asymmetry GARCH models and GARCH with the inclusion of realized volatility at the final period. Across the periods, the results show the mixture of symmetry and asymmetry GARCH modeling. (c) 2006 Elsevier B.V. All rights reserved. ELSEVIER SCIENCE BV 2007-01 Article NonPeerReviewed WENCHEONG, C and HASSANSHAARIMOHDNOR, A and ISA, Z (2007) Asymmetry and long-memory volatility: Some empirical evidence using GARCH. Physica A: Statistical and Theoretical Physics, 373. pp. 651-664. ISSN 03784371 http://dx.doi.org/10.1016/j.physa.2006.05.050 doi:10.1016/j.physa.2006.05.050 doi:10.1016/j.physa.2006.05.050 |
| spellingShingle | T Technology (General) QC Physics WENCHEONG, C HASSANSHAARIMOHDNOR, A ISA, Z Asymmetry and long-memory volatility: Some empirical evidence using GARCH |
| title | Asymmetry and long-memory volatility: Some empirical evidence using GARCH |
| title_full | Asymmetry and long-memory volatility: Some empirical evidence using GARCH |
| title_fullStr | Asymmetry and long-memory volatility: Some empirical evidence using GARCH |
| title_full_unstemmed | Asymmetry and long-memory volatility: Some empirical evidence using GARCH |
| title_short | Asymmetry and long-memory volatility: Some empirical evidence using GARCH |
| title_sort | asymmetry and long-memory volatility: some empirical evidence using garch |
| topic | T Technology (General) QC Physics |
| url | http://shdl.mmu.edu.my/3139/ http://shdl.mmu.edu.my/3139/ http://shdl.mmu.edu.my/3139/ |