Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach

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Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach

This paper analyzes the asymmetric long memory volatility dependency of the interday prices of Composite Index (CI) at Bursa Malaysia by using GARCH family models. The GARCH type models are used with the assumption that the innovations series follow either one of the following distributions: Gaussia...

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Bibliographic Details
Main Authors:	Abu Hassan Shaari Mohd Nor, Chin , Wen Cheong
Format:	Article
Published:	Universiti Kebangsaan Malaysia 2006
Online Access:	http://journalarticle.ukm.my/3977/

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