Modelling and Forecasting Volatility of Equity Market Indices And Gold Using Univariate GARCH Models: Evidence from Singapore

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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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Bibliographic Details
Main Author:	Kyaw Swar, Linn
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2020
Online Access:	https://eprints.nottingham.ac.uk/62385/

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