Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]

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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11657

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