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

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

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...

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Bibliographic Details
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/
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Institution: Universiti Teknologi Mara
Language: English
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Summary: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.

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