volatility

Many investors use market indices to manage their portfolios and keep track of the financial markets.  Forecasting financial trends in a complex market is a critical factor for investors.  Given how challenging and unpredictable future predictions can be, forecasting market indices cannot rely solely on regular patterns based on technical analysis.  Therefore, this paper proposes a way to forecast future market indices of Financial Times Stock Exchange (FTSE) Bursa Malaysia Kuala Lumpur Stock Exchange Composite Index (KLCI) and MSCI All Country World Index (ACWI) by usi

To guarantee the non-negativity of the conditional variance of the GARCH process, it is sufficient to assume the non-negativity of its parameters.  This condition was empirically violated besides rendering the GARCH model more restrictive.  It was subsequently  relaxed for some GARCH orders by necessary and sufficient constraints.  In this paper, we generalized an approach for the QML estimation of the GARCH$(p,q)$ parameters for all orders $p\geq 1$ and $q\ge 1$ using a constrained Kalman filter.  Such an approach allows a relaxed QML estimation of the GARCH without th