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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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
id my.uitm.ir.11657
record_format eprints
spelling my.uitm.ir.116572016-09-29T07:41:41Z http://ir.uitm.edu.my/id/eprint/11657/ Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.] Zahid, Siti Meriam Zainol, Mohammad Said Mohamed Sani, Ibrahim Zaharim, Azami Financial engineering Malaysia 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. Fakulti Teknologi Maklumat dan Sains Kuantitatif 2006 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/11657/1/AJ_SITI%20MERIAM%20ZAHID%20JTMSK%2006%201.pdf 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
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Financial engineering
Malaysia
spellingShingle Financial engineering
Malaysia
Zahid, Siti Meriam
Zainol, Mohammad Said
Mohamed Sani, Ibrahim
Zaharim, Azami
Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]
description 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.
format Article
author Zahid, Siti Meriam
Zainol, Mohammad Said
Mohamed Sani, Ibrahim
Zaharim, Azami
author_facet Zahid, Siti Meriam
Zainol, Mohammad Said
Mohamed Sani, Ibrahim
Zaharim, Azami
author_sort Zahid, Siti Meriam
title Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]
title_short Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]
title_full Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]
title_fullStr Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]
title_full_unstemmed Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]
title_sort modeling volatility of the klci daily returns / siti meriam zahid ... [et al.]
publisher Fakulti Teknologi Maklumat dan Sains Kuantitatif
publishDate 2006
url 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/
_version_ 1685648309590425600

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