4 articles for “Range-based volatility”

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Research ArticleOpen accessIn the keywordsVolatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated ApproachChin Wen CheongThis study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for comparison purposes. Our empirical … …American Journal of Applied Sciences, Vol. 5, Issue 6 · 30 Jun 2008 · 6,706 accessesView PDF Cite

Research ArticleOpen accessIn the abstractAre There Smaller Leverage Effects in Less-Developed Markets? Evidence from an Oil Exporting CountryMosayeb Phalavani, Parinaz EzzatiProblem statement: This study uses daily data from the Tehran Stock Market (TSM) to illustrate the nature of stock market volatility in an undeveloped and young stock market. Although most studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude but there is no evidence of asymmetric effect in TSM. … …American Journal of Applied Sciences, Vol. 7, Issue 1 · 31 Jan 2010 · 7,519 accessesView PDF Cite

Research ArticleOpen accessIn the abstractPhenanthrene Contaminated Soil Biotreatment Using Slurry Phase BioreactorM. Arbabi, M. Sadeghi, Ch. AnyakoraProblem Statement: Polycyclic Aromatic Hydrocarbons (PAHs) are suspected toxins that accumulate in soils and sediments due to their insolubility in water and lack of volatility. Slurry-phase biological treatment is one of the innovative technologies that involve the controlled treatment of excavated soil in a bioreactor. Due to highly soil contamination from petroleum compounds in crude oil extraction and also oil … …American Journal of Environmental Sciences, Vol. 5, Issue 3 · 30 Jun 2009 · 6,758 accessesView PDF Cite

Research ArticleOpen accessIn the abstractThe Gaussianity Evaluations of Malaysian Stock Return VolatilityChin Wen CheongWe study the distribution of standardized returns by using various frequencies data. The empirical standardized returns are obtained by using the unobserved and observable daily volatility. Our empirical results evidence the realized-standardized returns follow nearest to a Gaussian distribution. On the other hand, the standardized returns using daily closing and range-based data are able to reduce but not fully eliminate … …American Journal of Applied Sciences, Vol. 5, Issue 2 · 28 Feb 2008 · 7,078 accessesView PDF Cite