A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility

• المؤلف الرئيسي: Islam, Mohd Aminul
• التنسيق: مقال
• اللغة: English
• منشور في: Research Academy of Social Sciences 2014
• الموضوعات: HG4001 Financial management. Business finance. Corporation finance.
• الوصول للمادة أونلاين: http://irep.iium.edu.my/37649/1/IJEF_2014.pdf; http://irep.iium.edu.my/37649/; http://www.rassweb.com

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...