Zahid, Siti Meriam and Zainol, Mohammad Said and Mohamed Sani, Ibrahim and Zaharim, Azami
(2006)
Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.].
Jurnal Teknologi Maklumat dan Sains Kuantitatif, 8 (1).
pp. 11-19.
ISSN 1823-0822
Abstract
Volatility is a central concept in financial engineering. It may be simply defined as the standard deviation of return values. A frequent modeling assumption is that volatility is constant. Unfortunately in many financial time series volatility appears to be anything but constant. This paper reports the results of an effort in modeling stock market volatility as a Generalized Autoregressive Conditional Heteroscedastic (GARCH) process.
Metadata
| Item Type: | Article |
|---|---|
| Creators: | Creators Email / ID Num. Zahid, Siti Meriam UNSPECIFIED Zainol, Mohammad Said UNSPECIFIED Mohamed Sani, Ibrahim UNSPECIFIED Zaharim, Azami UNSPECIFIED |
| Subjects: | H Social Sciences > HG Finance > Financial engineering H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities > Malaysia |
| Divisions: | Universiti Teknologi MARA, Shah Alam > Faculty of Computer and Mathematical Sciences |
| Journal or Publication Title: | Jurnal Teknologi Maklumat dan Sains Kuantitatif |
| ISSN: | 1823-0822 |
| Volume: | 8 |
| Number: | 1 |
| Page Range: | pp. 11-19 |
| Keywords: | GARCH, Stationarity, Heteroscedasticity, Volatility clustering, Simulation |
| Date: | 2006 |
| URI: | https://ir.uitm.edu.my/id/eprint/11657 |
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