Modelling and Forecasting Volatility of Equity Market Indices And Gold Using Univariate GARCH Models: Evidence from Singapore
This paper estimates and forecasts the conditional volatility of Singaporean equity indices namely STI, FSTS_SI, FSTM_SI, and gold quoted in Singaporean dollar (XAUSGD) by using GARCH (1,1), GJR-GARCH (1,1), and EGARCH (1,1) models. The period of the daily return data ranges from 2nd September 1999...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2020
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| Online Access: | https://eprints.nottingham.ac.uk/62385/ |