Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model

CHEONG, C (2008) Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model. Physica A: Statistical Mechanics and its Applications, 387 (4). pp. 889-898. ISSN 03784371

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Official URL: http://dx.doi.org/10.1016/j.physa.2007.10.025

Abstract

This article investigated the influences of structural breaks on the fractionally integrated time-varying volatility model in the Malaysian stock markets which included the Kuala Lumpur composite index and four major sectoral indices. A fractionally integrated time-varying volatility model combined with sudden changes is developed to study the possibility of structural change in the empirical data sets. Our empirical results showed substantial reduction in fractional differencing parameters after the inclusion of structural change during the Asian financial and currency crises. Moreover, the fractionally integrated model with sudden change in volatility performed better in the estimation and specification evaluations. (c) 2007 Elsevier B.V. All rights reserved.

Item Type: Article
Subjects: T Technology > T Technology (General)
Q Science > QC Physics
Divisions: Faculty of Engineering and Technology (FET)
Depositing User: Ms Suzilawati Abu Samah
Date Deposited: 14 Sep 2011 05:43
Last Modified: 14 Sep 2011 05:43
URI: http://shdl.mmu.edu.my/id/eprint/2771

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