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

• Main Authors: Zahid, Siti Meriam, Zainol, Mohammad Said, Mohamed Sani, Ibrahim, Zaharim, Azami
• Format: Article
• Language: English
• Published: Fakulti Teknologi Maklumat dan Sains Kuantitatif 2006
• Subjects: Financial engineering; Malaysia
• Online Access: http://ir.uitm.edu.my/id/eprint/11657/1/AJ_SITI%20MERIAM%20ZAHID%20JTMSK%2006%201.pdf; http://ir.uitm.edu.my/id/eprint/11657/
• Institution: Universiti Teknologi Mara

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...