Modelling Malaysia stock markets using GARCH, EGARCH and copula models

Subject Areas : Economics

Nurul Hanis Aminuddin Jafry ¹ , Ruzanna Razak ² , Noriszura Ismail ³

1 - School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor, Malaysia
2 - Quantitative Methods Unit, Faculty of Management, Multimedia University, 63100 Cyberjaya, Selangor, Malaysia
3 - School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor, Malaysia

Received: 2022-06-23 Accepted : 2022-08-15 Published : 2022-09-01

Keywords:

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