Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility

• Auteur principal: Choo, Wei Chong
• Format: Thèse
• Langue: anglais; anglais
• Publié: 1998
• Sujets: GARCH model - Evaluation; Stock exchanges - Kuala Lumpur
• Accès en ligne: http://psasir.upm.edu.my/id/eprint/11298/1/FSAS_1998_1_A.pdf

The performance of generalised autoregressive conditional heteroscedasticity (GARCH) model and its modifications in forecasting stock market volatility are evaluated using the rate of returns from the daily stock market indices of Kuala Lumpur Stock Exchange (KLSE). These indices include Composite Index, Tins Index, Plantations Index, Properties Index and Finance Index. The models are stationary GARCH, unconstrained GARCH, non-negative GARCH, GARCH in mean (GARCH-M), exponential GARCH (EGARCH) and integrated GARCH. The parameters of these models and variance processes are estimated jointly using maximum likelihood method. The performance of the within-sample estimation is assessed using several goodness-of-fit statistics and the accuracy of the out-of-sample forecasts is judged using mean squared error.