Measuring and forecasting Malaysian composite index volatility under the impact of Asian financial crisis - A revisit

Chin Wen Cheong, Zaidi Isa

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This study revisited the impact of Asian Financial crisis to the Malaysian stock market. A generalized Tse's model is used to depict various empirical stylized facts that occurred in the pre-and post-crisis periods. By utilizing the intraday volatility as the ex post of actual volatility, various forecasts horizons one-day ahead volatility are evaluated under six loss functions and regression analysis. It is found that the pre-crisis exhibited deeper impact of leverage effect, however less persistence volatility than the post-crisis period. The empirical results also shown that the asymmetric long memory model provided superior performance in the estimation as well as out-of-sample forecasts.

Original languageEnglish
Pages (from-to)287-307
Number of pages21
JournalJournal of Interdisciplinary Mathematics
Volume13
Issue number3
Publication statusPublished - Jun 2010

Fingerprint

Financial Crisis
Volatility
Forecasting
Composite
Composite materials
Regression analysis
Forecast
Leverage Effect
Stylized Facts
Data storage equipment
Memory Model
Long Memory
Loss Function
Stock Market
Regression Analysis
Persistence
Horizon
Crisis
Financial markets

Keywords

  • ARCH model
  • Financial time series
  • Forecasting evaluations
  • Intraday volatility

ASJC Scopus subject areas

  • Analysis
  • Applied Mathematics

Cite this

Measuring and forecasting Malaysian composite index volatility under the impact of Asian financial crisis - A revisit. / Cheong, Chin Wen; Isa, Zaidi.

In: Journal of Interdisciplinary Mathematics, Vol. 13, No. 3, 06.2010, p. 287-307.

Research output: Contribution to journalArticle

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