Asymmetry and long-memory volatility: Some empirical evidence using GARCH

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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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Bibliographic Details
Main Authors:	WENCHEONG, C, HASSANSHAARIMOHDNOR, A, ISA, Z
Format:	Article
Published:	ELSEVIER SCIENCE BV 2007
Subjects:	T Technology (General) QC Physics
Online Access:	http://shdl.mmu.edu.my/3139/

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