Estimating stock market volatility using asymmetric GARCH models
โ Scribed by Alberg, Dima; Shalit, Haim; Yosef, Rami
- Book ID
- 120004255
- Publisher
- Taylor and Francis Group
- Year
- 2008
- Tongue
- English
- Weight
- 139 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0960-3107
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In this paper we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng, 1993) and the Glosten, Jagannathan and Runkle (1992) models which have been proposed to describe, for exampl
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