Citation

Cheong, Chin Wen (2013) The computational of stock market volatility from the perspective of heterogeneous market hypothesis. Journal of Economic Computation & Economic Cybernetics Studies & Research, 47 (2). pp. 247-260. ISSN 1842 – 3264

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Abstract

The article offers information on the study of stock exchanges modeling and forecasting based on the heterogeneous market hypothesis. It mentions that the trading activities of heterogeneous market can be modeled by the autoregressive conditional heteroscedasticity and heterogeneous autoregressive models by using the Standard and Poor (S&P500) index as the empirical study. It mentions that the empirical findings have implications for financial econometrics modelling and risk managements.

Item Type:	Article
Subjects:	Q Science > QA Mathematics > QA71-90 Instruments and machines > QA75.5-76.95 Electronic computers. Computer science
Divisions:	Faculty of Computing and Informatics (FCI)
Depositing User:	Ms Suzilawati Abu Samah
Date Deposited:	20 Feb 2014 03:11
Last Modified:	20 Feb 2014 03:11
URII:	http://shdl.mmu.edu.my/id/eprint/5309

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