Ng Sew Lai

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The fractionally integrated asymmetric power autoregressive conditional heteroscedasticity model has successfully captured the empirical stylized facts such as the leverage effect, volatility power transformation and long memory in the foreign exchange markets. This study further explores the applicability of this model in the Asian equity markets. The(More)
This study investigates the long-run and short-run movements of two emerging stock market volatilities using a volatility decomposition methodology. We studied the impact of 2007–2008 subprime mortgage crisis on the transitory and permanent volatility components in terms of two empirical stylized facts, the leverage effect and volatility persistence.(More)
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