Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index
This article study the influences of structural break to the fractionally integrated time-varying volatility model in Malaysian stock markets from year 1996 to 2006. A fractionally integrated autoregressive conditional heteroscedastic (FIGARCH) model combines with sudden changes of volatility is dev...
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| Format: | Article |
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UNIV KEBANGSAAN MALAYSIA
2008
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| Online Access: | http://shdl.mmu.edu.my/2004/ |
| _version_ | 1848789937117200384 |
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| author | Chin Wen, Cheong Zaidi, Isa Abu Hassan Shaari , Mohd Nor |
| author_facet | Chin Wen, Cheong Zaidi, Isa Abu Hassan Shaari , Mohd Nor |
| author_sort | Chin Wen, Cheong |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | This article study the influences of structural break to the fractionally integrated time-varying volatility model in Malaysian stock markets from year 1996 to 2006. A fractionally integrated autoregressive conditional heteroscedastic (FIGARCH) model combines with sudden changes of volatility is develops to study the possibility of structural change in Asian financial crisis and currency crisis. Our empirical results evidence substantially reduction in long memory clustering volatility after the inclusion of sudden changes in the volatility. Finally, the estimation, diagnostic and model selection evaluations indicate that the fractionally integrated model with structural change is out-performed compared to the standard model. |
| first_indexed | 2025-11-14T18:04:39Z |
| format | Article |
| id | mmu-2004 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T18:04:39Z |
| publishDate | 2008 |
| publisher | UNIV KEBANGSAAN MALAYSIA |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-20042011-08-10T07:33:04Z http://shdl.mmu.edu.my/2004/ Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index Chin Wen, Cheong Zaidi, Isa Abu Hassan Shaari , Mohd Nor T Technology (General) Q Science (General) This article study the influences of structural break to the fractionally integrated time-varying volatility model in Malaysian stock markets from year 1996 to 2006. A fractionally integrated autoregressive conditional heteroscedastic (FIGARCH) model combines with sudden changes of volatility is develops to study the possibility of structural change in Asian financial crisis and currency crisis. Our empirical results evidence substantially reduction in long memory clustering volatility after the inclusion of sudden changes in the volatility. Finally, the estimation, diagnostic and model selection evaluations indicate that the fractionally integrated model with structural change is out-performed compared to the standard model. UNIV KEBANGSAAN MALAYSIA 2008-12 Article NonPeerReviewed Chin Wen, Cheong and Zaidi, Isa and Abu Hassan Shaari , Mohd Nor (2008) Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index. Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index. pp. 405-411. |
| spellingShingle | T Technology (General) Q Science (General) Chin Wen, Cheong Zaidi, Isa Abu Hassan Shaari , Mohd Nor Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index |
| title | Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index |
| title_full | Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index |
| title_fullStr | Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index |
| title_full_unstemmed | Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index |
| title_short | Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index |
| title_sort | fractionally integrated time-varying volatility under structural break: evidence from kuala lumpur composite index |
| topic | T Technology (General) Q Science (General) |
| url | http://shdl.mmu.edu.my/2004/ |