Lam, K.P.; Ng, H.S. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2625-2632
Conventional GARCH modeling formulates an additive-error mean equation for daily return and an autoregressive moving-average specification for its conditional variance, without much consideration on the effects of intra-daily data. Using Engle’s multiplicative-error model (MEM) formulation,...