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Comparing the Performances of GARCH-type Models in Capturing the Stock Market Volatility in Malaysia

โœ Scribed by Lim, Ching Mun; Sek, Siok Kun

Book ID
121724458
Publisher
Elsevier
Year
2013
Tongue
English
Weight
276 KB
Volume
5
Category
Article
ISSN
2212-5671

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This paper studies the performance of GARCH model and its modiยฎcations, 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 GAR