Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
This paper analyzes the asymmetric long memory volatility dependency of the interday prices of Composite Index (CI) at Bursa Malaysia by using GARCH family models. The GARCH type models are used with the assumption that the innovations series follow either one of the following distributions: Gaussia...
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| Format: | Article |
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Universiti Kebangsaan Malaysia
2006
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| Online Access: | http://journalarticle.ukm.my/3977/ http://journalarticle.ukm.my/3977/ |