On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH
The main objective of this paper is to explore the varying volatility dynamic of inflation rate in Malaysia for the period from January 1980 to December 2004. The GARCH, GARCH-Mean, EGARCH and EGARCH-Mean models are used to capture the stochastic variation and asymmetries in the economic instruments...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Kebangsaan Malaysia
2007
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| Online Access: | http://journalarticle.ukm.my/101/ http://journalarticle.ukm.my/101/1/1.pdf |
| _version_ | 1848809111932633088 |
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| author | Abu Hassan Shaari Mohd Nor, Tan, Yan Ling, Fauziah Maarof, |
| author_facet | Abu Hassan Shaari Mohd Nor, Tan, Yan Ling, Fauziah Maarof, |
| author_sort | Abu Hassan Shaari Mohd Nor, |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | The main objective of this paper is to explore the varying volatility dynamic of inflation rate in Malaysia for the period from January 1980 to December 2004. The GARCH, GARCH-Mean, EGARCH and EGARCH-Mean models are used to capture the stochastic variation and asymmetries in the economic instruments. Results show that the EGARCH model gives better estimates of sub-periods volatility. Further analysis using Granger causality test shows that there is sufficient empirical evidence that higher inflation rate level will result in higher future inflation uncertainty and higher level of inflation uncertainty will lead to lower future inflation rate. |
| first_indexed | 2025-11-14T23:09:25Z |
| format | Article |
| id | ukm-101 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:09:25Z |
| publishDate | 2007 |
| publisher | Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ukm-1012016-12-14T06:26:24Z http://journalarticle.ukm.my/101/ On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH Abu Hassan Shaari Mohd Nor, Tan, Yan Ling, Fauziah Maarof, The main objective of this paper is to explore the varying volatility dynamic of inflation rate in Malaysia for the period from January 1980 to December 2004. The GARCH, GARCH-Mean, EGARCH and EGARCH-Mean models are used to capture the stochastic variation and asymmetries in the economic instruments. Results show that the EGARCH model gives better estimates of sub-periods volatility. Further analysis using Granger causality test shows that there is sufficient empirical evidence that higher inflation rate level will result in higher future inflation uncertainty and higher level of inflation uncertainty will lead to lower future inflation rate. Universiti Kebangsaan Malaysia 2007-12 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/101/1/1.pdf Abu Hassan Shaari Mohd Nor, and Tan, Yan Ling, and Fauziah Maarof, (2007) On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH. Sains Malaysiana, 36 (2). pp. 225-232. ISSN 0126-6039 Penerbit Universiti Kebangsaan Malaysia |
| spellingShingle | Abu Hassan Shaari Mohd Nor, Tan, Yan Ling, Fauziah Maarof, On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH |
| title | On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH |
| title_full | On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH |
| title_fullStr | On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH |
| title_full_unstemmed | On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH |
| title_short | On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH |
| title_sort | on the relationship between inflation rate and inflation uncertainty : an application of the garch family models = hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga garch |
| url | http://journalarticle.ukm.my/101/ http://journalarticle.ukm.my/101/ http://journalarticle.ukm.my/101/1/1.pdf |