Forecasting stock market volatility using wavelet transformation algorithm of garch model.
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Date
2017-05
Authors
Audu, Buba
Journal Title
Journal ISSN
Volume Title
Publisher
Universiti Sains Malaysia
Abstract
Kemeruapan pasaran saham adalah perkara penting terutamanya kepada dua pihak berkepentingan. Pengamal melalui kanta mata sendiri melihat pandangan tentang kesan kelakuan harga aset dan risiko. Sebaliknya, pembuat dasar dibebani dengan insiden cabaran kewangan dan ketidakstabilan makroekonomi yang ditimbulkan oleh fenomena pasaran saham.
Stock market volatility is of essential concern, particularly to two major stake-holders. While the practitioner looks through his own lenses with the bird’s-eye-view, he or she bothers himself or herself about the consequences of this behaviour on asset pricing and risk. Conversely, policy makers are burdened with the incidence of financial challenges and macroeconomic instability posed by the stock market phenomenon.
Description
Keywords
Wavelet , Algorithm