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

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 Composi...

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Bibliographic Details
Main Author:	Choo, Wei Chong
Format:	Thesis
Language:	English English
Published:	1998
Subjects:	GARCH model - Evaluation Stock exchanges - Kuala Lumpur
Online Access:	http://psasir.upm.edu.my/id/eprint/11298/1/FSAS_1998_1_A.pdf

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