A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
In this paper we aim to test the usefulness of two variants of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family-type models in estimating stock returns volatility for three Asian markets namely- Kuala Lumpur Composite Index (KLCI) of Malaysia, Straits Times Index (STI) of Sin...
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| Format: | Article |
| Language: | English |
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Research Academy of Social Sciences
2014
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| Online Access: | http://irep.iium.edu.my/37649/1/IJEF_2014.pdf |