Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility

• 第一著者: Choo, Wei Chong
• フォーマット: 学位論文
• 言語: English; English
• 出版事項: 1998
• オンライン･アクセス: http://psasir.upm.edu.my/id/eprint/11298/1/FSAS_1998_1_A.pdf; http://psasir.upm.edu.my/id/eprint/11298/

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...