Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Chin Wen, Cheong, Zaidi, Isa, Abu Hassan Shaari , Mohd Nor
Format:	Article
Published:	UNIV KEBANGSAAN MALAYSIA 2008
Subjects:	T Technology (General) Q Science (General)
Online Access:	http://shdl.mmu.edu.my/2004/

Similar Items

Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model
by: CHEONG, C
Published: (2008)

Structural break unit-root: an empirical study of Malaysian equity markets
by: Chin, Wen Cheong, et al.
Published: (2009)

Volatility, expiration day effect and pricing efficiency: evidence from the Kuala Lumpur composite index futures
by: Fauzias Mat Nor,, et al.
Published: (2002)

Testing explosive bubbles with time-varying volatility
by: Harvey, David I., et al.
Published: (2018)

Modeling volatility using GARCH (1, 1) Model: The case of Kuala Lumpur Composite Index (KLCI)
by: Islam, Mohd Aminul
Published: (2013)

Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index
by: Abdullah, Mahdhir
Published: (2001)

Asymmetry dynamic volatility forecast evaluations using interday and intraday data
by: Chin, Wen Cheong, et al.
Published: (2012)

Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index
by: ZHU, Lin
Published: (2013)

The effects of macroeconomics variables on stock index: Kuala Lumpur Composite Index
by: Abu Zarim, Noraznida
Published: (2014)

Time-varying relationship of news sentiment, implied volatility and stock returns
by: Smales, Lee
Published: (2016)

Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003)

Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003)

The international effect of economic crises on the volatility of futures prices and the volatility of underlying spot prices of stock indexes and commodities
by: Tham, Lucas Yew Jun
Published: (2022)

The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange
by: Izani Ibrahim,, et al.
Published: (2000)

Determinants of stock volatility: evidence from Malaysia
by: Chan, Caleb Jia-Le, et al.
Published: (2015)

The Impact of the Implementation of Stock Index Options on Stock Market Volatility: China Evidence
by: Xiao, Shixin
Published: (2019)

Constant & time-varying hedge ratio for FBMKLCI stock index futures
by: Islam, Mohd Aminul
Published: (2016)

Impact of macroeconomics variables toward Kuala Lumpur composite index (KLCI)
by: Chong, Min Khiuk
Published: (2013)

The day of week effect on financial companies among financial sector in Kuala Lumpur composite index (KLCI)
by: Chin, Pea Lee
Published: (2012)

Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency analysis
by: Wan, Jieru
Published: (2022)

Transportation dynamic behaviour of structural break and consumer price index
by: Mhd. Ruslan, Siti Marsila, et al.
Published: (2019)

Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
by: Abu Hassan Shaari Mohd Nor,, et al.
Published: (2006)

Implied adjusted volatility functions: Empirical evidence from Australian index option market
by: Harun, Hanani Farhah, et al.
Published: (2015)

An investigation of implied volatility during financial crisis: Evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Implied adjusted volatility functions: empirical evidence from Australian index option market
by: Harun, Hanani Farhah, et al.
Published: (2014)

An investigation of implied volatility during financial crisis: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Currency crisis and stock price behaviour : Evidence from the Kuala Lumpur composite index / Anuar Hj. Wahhab…[et al.]
by: Hj. Wahhab, Anuar, et al.
Published: (2002)

Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
by: Cavaliere, Giuseppe, et al.
Published: (2015)

Seasonality of volatility and returns and their causal relationship in the Kuala Lumpur Stock Exchange / by Toh Hock Chai.
by: Toh, Hock Chai
Published: (2001)

Modelling and Forecasting Volatility of Stock Index Return Using GARCH Models: an Empirical Evidence of Argentina
by: Xenofontos, Andreas
Published: (2014)

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Comparative performance of ARIMA and GARCH models in modelling and forecasting volatility of Kuala Lumpur composite index / Hasma Basyirah Bakar , Nik Sofiah Nik Rusdi and Nurul Athirah Rushdi
by: Bakar, Hasma Basyirah, et al.
Published: (2019)

The interactions among gold, oil and stock market: evidence from Kuala Lumpur Composite Index (KLCI) / Siti Nur Farahim Azmi
by: Azmi, Siti Nur Farahim
Published: (2017)

Re-modelling the quality of urban life (QOUL) index for Kuala Lumpur city, Malaysia
by: Mohit, Mohammad Abdul, et al.
Published: (2016)

A study on impact of macroeconomic indicators towards Kuala Lumpur Composite Index (KLCI)
by: Sulaiman, Mohd Haniff
Published: (2014)

The relationship between indices and Kuala Lumpur syariah index / Ungku Zareen Ungku Zolkipli
by: Ungku Zolkipli, Ungku Zareen
Published: (2014)

Unit root testing under a local break in trend using partial information on the break date*
by: Harvey, David I., et al.
Published: (2014)

Breaks in sedentary time
by: Healy, Genevieve, et al.
Published: (2008)

FORCASTING VOLATILITY ON CHINA EQUITY MARKET: Evidence from Shanghai and Shenzhen stock exchange at index level
by: Jin, Shan
Published: (2011)