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Please use this identifier to cite or link to this item: https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/14407
Title: The Impact of Structural Break to Permanent and Transitory Components of Malaysian Stock Market
Authors: Chin Wen Cheong
Zaidi Isa
Keywords: financial time series
structural break
long-persistence volatility
component GARCH.
Issue Date: 2007
Publisher: Journal of Quantitative Economics
Abstract: This article studied the time-varying volatility, components features of volatility, non-normality and leverage effect of Malaysian stock market under the structural breaks. A modified threshold two-components autoregressive conditional heteroscedasticity (ARCH) model with sudden structural changes is developed to account for all the possible stylized facts simultaneously.
URI: http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/14407
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