Modelling and Forecasting the Volatility of Stock Price Index : ASEAN-5 Countries
This study aims to model and forecast the stock index volatility in ASEAN-5 countries. In addition, this study investigates the asymmetric characteristics of the returns series, evaluate if the use of non-normal distribution improves the model estimation and compare the forecasting performance of th...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
|
| Online Access: | https://eprints.nottingham.ac.uk/27186/ |