Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model
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...
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| Format: | Article |
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ELSEVIER SCIENCE BV
2008
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| Online Access: | http://shdl.mmu.edu.my/2771/ |
| _version_ | 1848790145414725632 |
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| author | CHEONG, C |
| author_facet | CHEONG, C |
| author_sort | CHEONG, C |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T18:07:58Z |
| format | Article |
| id | mmu-2771 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T18:07:58Z |
| publishDate | 2008 |
| publisher | ELSEVIER SCIENCE BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-27712011-09-14T05:43:53Z http://shdl.mmu.edu.my/2771/ Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model CHEONG, C T Technology (General) QC Physics 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. ELSEVIER SCIENCE BV 2008-02 Article PeerReviewed 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 http://dx.doi.org/10.1016/j.physa.2007.10.025 doi:10.1016/j.physa.2007.10.025 doi:10.1016/j.physa.2007.10.025 |
| spellingShingle | T Technology (General) QC Physics CHEONG, C Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model |
| title | Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model |
| title_full | Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model |
| title_fullStr | Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model |
| title_full_unstemmed | Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model |
| title_short | Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model |
| title_sort | time-varying volatility in malaysian stock exchange: an empirical study using multiple-volatility-shift fractionally integrated model |
| topic | T Technology (General) QC Physics |
| url | http://shdl.mmu.edu.my/2771/ http://shdl.mmu.edu.my/2771/ http://shdl.mmu.edu.my/2771/ |