Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach

Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach

This paper analyzes the asymmetric long memory volatility dependency of the interday prices of Composite Index (CI) at Bursa Malaysia by using GARCH family models. The GARCH type models are used with the assumption that the innovations series follow either one of the following distributions: Gaussia...

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Main Authors: Abu Hassan Shaari Mohd Nor, Chin , Wen Cheong
Format: Article
Published: Universiti Kebangsaan Malaysia 2006
Online Access:http://journalarticle.ukm.my/3977/
http://journalarticle.ukm.my/3977/
id ukm-3977
recordtype eprints
spelling ukm-39772012-03-28T01:22:18Z http://journalarticle.ukm.my/3977/ Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach Abu Hassan Shaari Mohd Nor, Chin , Wen Cheong This paper analyzes the asymmetric long memory volatility dependency of the interday prices of Composite Index (CI) at Bursa Malaysia by using GARCH family models. The GARCH type models are used with the assumption that the innovations series follow either one of the following distributions: Gaussian, Student -t and skewed Student -t. The stock returns' long memory dependency is determined using the Hurst parameter. The long memory and asymmetric volatility are modelled by fractionally integrated GARCH models. It is found that the asymmetric and long memory GARCH models with skewed student-t distribution give better predictive ability on the volatility of the Kuala Lumpur Composite Index (KLCI). Universiti Kebangsaan Malaysia 2006-07 Article PeerReviewed Abu Hassan Shaari Mohd Nor, and Chin , Wen Cheong (2006) Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach. Sains Malaysiana, 35 (1). pp. 67-73. ISSN 0126-6039 http://www.ukm.my/jsm/english_journals/vol35num1_2006/vol35num1_06page67-73.html
repository_type Digital Repository
institution_category Local University
institution Universiti Kebangasaan Malaysia
building UKM Institutional Repository
collection Online Access
description This paper analyzes the asymmetric long memory volatility dependency of the interday prices of Composite Index (CI) at Bursa Malaysia by using GARCH family models. The GARCH type models are used with the assumption that the innovations series follow either one of the following distributions: Gaussian, Student -t and skewed Student -t. The stock returns' long memory dependency is determined using the Hurst parameter. The long memory and asymmetric volatility are modelled by fractionally integrated GARCH models. It is found that the asymmetric and long memory GARCH models with skewed student-t distribution give better predictive ability on the volatility of the Kuala Lumpur Composite Index (KLCI).
format Article
author Abu Hassan Shaari Mohd Nor,
Chin , Wen Cheong
spellingShingle Abu Hassan Shaari Mohd Nor,
Chin , Wen Cheong
Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
author_facet Abu Hassan Shaari Mohd Nor,
Chin , Wen Cheong
author_sort Abu Hassan Shaari Mohd Nor,
title Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
title_short Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
title_full Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
title_fullStr Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
title_full_unstemmed Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
title_sort long memory and asymmetric volatility behaviour of the malaysian stock market: a statistical modelling approach
publisher Universiti Kebangsaan Malaysia
publishDate 2006
url http://journalarticle.ukm.my/3977/
http://journalarticle.ukm.my/3977/
first_indexed 2023-09-18T19:40:18Z
last_indexed 2023-09-18T19:40:18Z
_version_ 1777405545289875456

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