Matches in SemOpenAlex for { <https://semopenalex.org/work/W137342761> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W137342761 abstract "This paper applies the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to the financial time series (stock index returns) in four Asian markets namely; Kuala Lumpur Composite Index (KLCI) of Malaysia, the Straits Times Index (STI) of Singapore, Nikkei Indices (N225) of Japan and the Hang Seng Index (HSI) of Hong Kong. We included six years of data covering the period from January 2007 to December 2012. This comprises daily observations of 1477 for KLCI, 1493 for STI, 1469 for N225 and 1481 for HSI excluding the public holidays. Closing values for stock indices are used. We included most commonly used variations of conditional volatility models with imposing names such as Generalized Autoregressive Conditional Heteroscedasticity best known as the GARCH (1, 1), GARCH-in-Mean, Thresh-hold GARCH (TGARCH), Exponential GARCH (EGARCH) and Power GARCH models. We aim to empirically examine the use of GARCH models in capturing the stylized facts such as volatility clustering and leverage effects commonly observed in high frequency financial time series data. We found strong empirical evidence of volatility clustering and leverage effects in the daily stock index returns of all four markets showing that the daily stock index returns can be characterized by the GARCH models. The results from GARCH-in-Mean model, we find evidence of positive relationship between the expected risk and expected return in all four markets which is often predicted in investment theory." @default.
- W137342761 created "2016-06-24" @default.
- W137342761 creator A5063769560 @default.
- W137342761 date "2013-09-01" @default.
- W137342761 modified "2023-09-23" @default.
- W137342761 title "Modeling univariate volatility of stock returns using stochastic GARCH models:Evidence from 4-Asian markets" @default.
- W137342761 cites W1524692170 @default.
- W137342761 cites W1974634890 @default.
- W137342761 cites W1975994995 @default.
- W137342761 cites W1999814123 @default.
- W137342761 cites W1999996900 @default.
- W137342761 cites W2005424182 @default.
- W137342761 cites W2013109882 @default.
- W137342761 cites W2043427380 @default.
- W137342761 cites W2044117118 @default.
- W137342761 cites W2061160212 @default.
- W137342761 cites W2064638174 @default.
- W137342761 cites W2078687299 @default.
- W137342761 cites W2093230975 @default.
- W137342761 cites W2111416403 @default.
- W137342761 cites W2125847596 @default.
- W137342761 cites W2134769070 @default.
- W137342761 cites W2152804254 @default.
- W137342761 cites W2263098707 @default.
- W137342761 cites W2405026362 @default.
- W137342761 cites W2423293082 @default.
- W137342761 cites W3124022984 @default.
- W137342761 cites W3141341243 @default.
- W137342761 hasPublicationYear "2013" @default.
- W137342761 type Work @default.
- W137342761 sameAs 137342761 @default.
- W137342761 citedByCount "2" @default.
- W137342761 countsByYear W1373427612014 @default.
- W137342761 countsByYear W1373427612021 @default.
- W137342761 crossrefType "journal-article" @default.
- W137342761 hasAuthorship W137342761A5063769560 @default.
- W137342761 hasConcept C101104100 @default.
- W137342761 hasConcept C105795698 @default.
- W137342761 hasConcept C106159729 @default.
- W137342761 hasConcept C149782125 @default.
- W137342761 hasConcept C161584116 @default.
- W137342761 hasConcept C162324750 @default.
- W137342761 hasConcept C166957645 @default.
- W137342761 hasConcept C199163554 @default.
- W137342761 hasConcept C205649164 @default.
- W137342761 hasConcept C23922673 @default.
- W137342761 hasConcept C2776142675 @default.
- W137342761 hasConcept C2778098375 @default.
- W137342761 hasConcept C2779343474 @default.
- W137342761 hasConcept C2780299701 @default.
- W137342761 hasConcept C2992405062 @default.
- W137342761 hasConcept C33923547 @default.
- W137342761 hasConcept C88389905 @default.
- W137342761 hasConcept C91602232 @default.
- W137342761 hasConceptScore W137342761C101104100 @default.
- W137342761 hasConceptScore W137342761C105795698 @default.
- W137342761 hasConceptScore W137342761C106159729 @default.
- W137342761 hasConceptScore W137342761C149782125 @default.
- W137342761 hasConceptScore W137342761C161584116 @default.
- W137342761 hasConceptScore W137342761C162324750 @default.
- W137342761 hasConceptScore W137342761C166957645 @default.
- W137342761 hasConceptScore W137342761C199163554 @default.
- W137342761 hasConceptScore W137342761C205649164 @default.
- W137342761 hasConceptScore W137342761C23922673 @default.
- W137342761 hasConceptScore W137342761C2776142675 @default.
- W137342761 hasConceptScore W137342761C2778098375 @default.
- W137342761 hasConceptScore W137342761C2779343474 @default.
- W137342761 hasConceptScore W137342761C2780299701 @default.
- W137342761 hasConceptScore W137342761C2992405062 @default.
- W137342761 hasConceptScore W137342761C33923547 @default.
- W137342761 hasConceptScore W137342761C88389905 @default.
- W137342761 hasConceptScore W137342761C91602232 @default.
- W137342761 hasLocation W1373427611 @default.
- W137342761 hasOpenAccess W137342761 @default.
- W137342761 hasPrimaryLocation W1373427611 @default.
- W137342761 hasRelatedWork W1616856003 @default.
- W137342761 hasRelatedWork W2083275936 @default.
- W137342761 hasRelatedWork W2131908992 @default.
- W137342761 hasRelatedWork W2132512980 @default.
- W137342761 hasRelatedWork W2134489160 @default.
- W137342761 hasRelatedWork W2293209486 @default.
- W137342761 hasRelatedWork W2337729089 @default.
- W137342761 hasRelatedWork W2356660253 @default.
- W137342761 hasRelatedWork W2386417629 @default.
- W137342761 hasRelatedWork W2486705382 @default.
- W137342761 hasRelatedWork W2487275603 @default.
- W137342761 hasRelatedWork W2586926607 @default.
- W137342761 hasRelatedWork W2622784770 @default.
- W137342761 hasRelatedWork W2765817058 @default.
- W137342761 hasRelatedWork W2769703334 @default.
- W137342761 hasRelatedWork W2881128657 @default.
- W137342761 hasRelatedWork W2902626052 @default.
- W137342761 hasRelatedWork W3023102374 @default.
- W137342761 hasRelatedWork W3167484927 @default.
- W137342761 hasRelatedWork W2182267964 @default.
- W137342761 isParatext "false" @default.
- W137342761 isRetracted "false" @default.
- W137342761 magId "137342761" @default.
- W137342761 workType "article" @default.