Modeling univariate volatility of stock returns using stochastic GARCH models:Evidence from 4-Asian markets
This paper applies the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to the financial time series (stock index returns) in four Asian markets namely; Kuala Lumpur Composite Index (KLCI) of Malaysia, the Straits Times Index (STI) of Singapore, Nikkei Indices (N225) of Japan...
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| Format: | Article |
| Language: | English |
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INSI Publications
2013
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| Online Access: | http://irep.iium.edu.my/33419/1/AJBAS_Published_294-303.pdf |