Goh, Kim-Leng; Kok, Kim-Lian - In: International Journal of Business and Economics 5 (2006) 1, pp. 41-59
Historical prices information has not been exhaustively exploited in forecasting the 10-minute-ahead Composite Index of the Malaysian stock market. A simple model incorporating intraday seasonality can have lower forecast errors than a random walk. Improved accuracy is achieved when time-varying...