Modeling the Kuala Lumpur Composite Index (KLCI)

Azami Zaharim, Siti Meriam Zahid, Mohammad Said Zainol, Ibrahim Mohamed, Kamaruzzaman Sopian

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)499-512
Number of pages14
JournalEuropean Journal of Scientific Research
Volume25
Issue number3
Publication statusPublished - 2009

Fingerprint

Volatilization
Volatility
Time series
Composite
stock exchange
Composite materials
Modeling
modeling
time series analysis
engineering
stock market
Financial Time Series
Stock Market
Standard deviation
time series
Engineering
Financial markets
volatility
index

Keywords

  • GARCH
  • Heteroscedasticity
  • Simulation
  • Stationarity
  • Volatility Clustering

ASJC Scopus subject areas

  • General

Cite this

Modeling the Kuala Lumpur Composite Index (KLCI). / Zaharim, Azami; Zahid, Siti Meriam; Zainol, Mohammad Said; Mohamed, Ibrahim; Sopian, Kamaruzzaman.

In: European Journal of Scientific Research, Vol. 25, No. 3, 2009, p. 499-512.

Research output: Contribution to journalArticle

Zaharim, A, Zahid, SM, Zainol, MS, Mohamed, I & Sopian, K 2009, 'Modeling the Kuala Lumpur Composite Index (KLCI)', European Journal of Scientific Research, vol. 25, no. 3, pp. 499-512.
Zaharim, Azami ; Zahid, Siti Meriam ; Zainol, Mohammad Said ; Mohamed, Ibrahim ; Sopian, Kamaruzzaman. / Modeling the Kuala Lumpur Composite Index (KLCI). In: European Journal of Scientific Research. 2009 ; Vol. 25, No. 3. pp. 499-512.
@article{b8ca609f680a42eb9ce566c1f2df4790,
title = "Modeling the Kuala Lumpur Composite Index (KLCI)",
abstract = "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.",
keywords = "GARCH, Heteroscedasticity, Simulation, Stationarity, Volatility Clustering",
author = "Azami Zaharim and Zahid, {Siti Meriam} and Zainol, {Mohammad Said} and Ibrahim Mohamed and Kamaruzzaman Sopian",
year = "2009",
language = "English",
volume = "25",
pages = "499--512",
journal = "European Journal of Scientific Research",
issn = "1450-202X",
publisher = "European Journals Inc.",
number = "3",

}

TY - JOUR

T1 - Modeling the Kuala Lumpur Composite Index (KLCI)

AU - Zaharim, Azami

AU - Zahid, Siti Meriam

AU - Zainol, Mohammad Said

AU - Mohamed, Ibrahim

AU - Sopian, Kamaruzzaman

PY - 2009

Y1 - 2009

N2 - 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.

AB - 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.

KW - GARCH

KW - Heteroscedasticity

KW - Simulation

KW - Stationarity

KW - Volatility Clustering

UR - http://www.scopus.com/inward/record.url?scp=65349131448&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=65349131448&partnerID=8YFLogxK

M3 - Article

VL - 25

SP - 499

EP - 512

JO - European Journal of Scientific Research

JF - European Journal of Scientific Research

SN - 1450-202X

IS - 3

ER -