Do, Giam Quang; Mcaleer, Michael; Sriboonchitta, Songsak - In: Economics Bulletin 29 (2009) 2, pp. 599-610
This paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia …, under the exogenous effects from international gold market such as the 1 day lagged returns and the 1 day lagged volatility … of gold, the GARCH(1,1)-X model captures better stock market volatility behavior than GJR(1,1)-X, except Indonesia …