Performance of GARCH models in forecasting stock market volatility.
This paper studies the performance of GARCH model and its modifications, using the rate of returns from the daily stock market indices of the Kuala Lumpur Stock Exchange (KLSE) including Composite Index, Tins Index, Plantations Index, Properties Index, and Finance Index. The models are stationary G...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English English English |
| Published: |
John Wiley and Sons
1999
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| Subjects: | |
| Online Access: | http://psasir.upm.edu.my/id/eprint/16140/ http://psasir.upm.edu.my/id/eprint/16140/1/Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf http://psasir.upm.edu.my/id/eprint/16140/7/Journal%20of%20Forecasting%20-%201999%20-%20Chong%20-%20Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf |
Internet
http://psasir.upm.edu.my/id/eprint/16140/http://psasir.upm.edu.my/id/eprint/16140/1/Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf
http://psasir.upm.edu.my/id/eprint/16140/7/Journal%20of%20Forecasting%20-%201999%20-%20Chong%20-%20Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf