Performance of GARCH models in forecasting stock market volatility.

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...

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Bibliographic Details
Main Authors: Choo, Wei Chong, Ahmad, Muhammad Idrees, Abdullah, Mat Yusoff
Format: Article
Language:English
English
English
Published: John Wiley and Sons 1999
Subjects:
Finance - Mathematical models
Stock price forecasting - Mathematical models.
Investments - Mathematical models.
Online Access: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/16140/1/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

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