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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| Format: | Article |
| Language: | en |
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Fakulti Teknologi Maklumat dan Sains Kuantitatif
2006
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| Online Access: | https://ir.uitm.edu.my/id/eprint/11657/1/AJ_SITI%20MERIAM%20ZAHID%20JTMSK%2006%201.pdf https://ir.uitm.edu.my/id/eprint/11657/ |
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| _version_ | 1833058645789638656 |
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| 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 |
| building | Tun Abdul Razak Library |
| collection | Institutional Repository |
| content_provider | Universiti Teknologi Mara |
| content_source | UiTM Institutional Repository |
| continent | Asia |
| country | Malaysia |
| 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 |
| id | my.uitm.ir-11657 |
| institution | Universiti Teknologi Mara |
| language | en |
| publishDate | 2006 |
| publisher | Fakulti Teknologi Maklumat dan Sains Kuantitatif |
| record_format | eprints |
| spelling | my.uitm.ir-116572016-09-29T07:41:41Z https://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 https://ir.uitm.edu.my/id/eprint/11657/1/AJ_SITI%20MERIAM%20ZAHID%20JTMSK%2006%201.pdf Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]. (2006) Jurnal Teknologi Maklumat dan Sains Kuantitatif <https://ir.uitm.edu.my/view/publication/Jurnal_Teknologi_Maklumat_dan_Sains_Kuantitatif/>, 8 (1). pp. 11-19. ISSN 1823-0822 |
| 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.] |
| title | 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_short | 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.] |
| topic | Financial engineering Malaysia |
| url | https://ir.uitm.edu.my/id/eprint/11657/1/AJ_SITI%20MERIAM%20ZAHID%20JTMSK%2006%201.pdf https://ir.uitm.edu.my/id/eprint/11657/ |
| url_provider | http://ir.uitm.edu.my/ |