Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility
The performance of generalised autoregressive conditional heteroscedasticity (GARCH) model and its modifications in forecasting stock market volatility are evaluated using the rate of returns from the daily stock market indices of Kuala Lumpur Stock Exchange (KLSE). These indices include Composi...
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| Format: | Thesis |
| Language: | English English |
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1998
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| Online Access: | http://psasir.upm.edu.my/id/eprint/11298/1/FSAS_1998_1_A.pdf |