Shamiri, Ahmed; Hassan, Abu - EconWPA - 2005
This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period. The competing Models include GARCH, EGARCH and GJR-GARCH used with three different...