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- W2177751954 abstract "This paper investigates the asymmetry and long memory volatility behaviour of the Malaysian Stock Exchange daily data over a period of 1991 to 2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The daily index returns are adjusted for infrequent trading effect and we employed the variance time plot and R/S approaches to test the fractal scaling behavior of the volatility. The estimated Hurst parameter allows us to rank the market efficiency across the periods. The leverage effect, clustering volatility and long memory behaviour of the volatility are fitted by the asymmetry GARCH models. Across the periods, the results show the mixture of symmetry and asymmetry GARCH modelling." @default.
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- W2177751954 date "2006-06-13" @default.
- W2177751954 modified "2023-09-23" @default.
- W2177751954 title "Asymmetry and long memory volatility: some empirical evidence using GARCH" @default.
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