✦ LIBER ✦

Forecasting volatility of emerging stock markets: linear versus non-linear GARCH models

✍ Scribed by Suleyman Gokcan

Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 99 KB
Volume: 19
Category: Article
ISSN: 0277-6693
DOI: 10.1002/1099-131x(200011)19:6<499::aid-for745>3.0.co;2-p

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Forecasting stock market volatility usin

Forecasting stock market volatility using (non-linear) Garch models

✍ Philip Hans Franses; Dick Van Dijk 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 444 KB 👁 1 views

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

Performance of GARCH models in forecasti

Performance of GARCH models in forecasting stock market volatility

✍ Choo Wei Chong; Muhammad Idrees Ahmad; Mat Yusoff Abdullah 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 127 KB 👁 1 views

This paper studies the performance of GARCH model and its modi®cations, 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