Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case
This study employs a suitable volatility model that examines the impact of COVID-19 new cases and deaths on the volatility of daily job loss in Malaysia. Autoregressive Distributed Lag (ARDL) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) were employed as the modelling strateg...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis
2024
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/105756/ http://psasir.upm.edu.my/id/eprint/105756/1/Modelling%20volatility%20in%20job%20loss%20during%20the%20COVID-19%20pandemic%20%20The%20Malaysian%20case.pdf |
| _version_ | 1848864599692017664 |
|---|---|
| author | Habibullah, Muzafar Shah Saari, Mohd Yusof Maji, Ibrahim Kabiru Haji Din, Badariah Mohd Saudi, Nur Surayya |
| author_facet | Habibullah, Muzafar Shah Saari, Mohd Yusof Maji, Ibrahim Kabiru Haji Din, Badariah Mohd Saudi, Nur Surayya |
| author_sort | Habibullah, Muzafar Shah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study employs a suitable volatility model that examines the impact of COVID-19 new cases and deaths on the volatility of daily job loss in Malaysia. Autoregressive Distributed Lag (ARDL) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) were employed as the modelling strategy to estimate daily data from January to December 2020. In addition, the asymmetric GARCH-M (EGARCH-M, TGARCH-M, and PGARCH-M) were further applied. The findings from different versions of the ARDL(p,q1,q2)-(E,T,P)GARCH(1,1)-M model show that the ARDL-EGARCH-M model can capture the volatility and clustering of variability in job loss. The findings revealed asymmetry effects, suggesting that negative shocks (bad news) in a pandemic period increased volatility in job loss compared to positive shocks (good news). Policy implications relating to lockdown measures and news signals were provided. |
| first_indexed | 2025-11-15T13:51:23Z |
| format | Article |
| id | upm-105756 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T13:51:23Z |
| publishDate | 2024 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-1057562024-08-20T06:40:47Z http://psasir.upm.edu.my/id/eprint/105756/ Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case Habibullah, Muzafar Shah Saari, Mohd Yusof Maji, Ibrahim Kabiru Haji Din, Badariah Mohd Saudi, Nur Surayya This study employs a suitable volatility model that examines the impact of COVID-19 new cases and deaths on the volatility of daily job loss in Malaysia. Autoregressive Distributed Lag (ARDL) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) were employed as the modelling strategy to estimate daily data from January to December 2020. In addition, the asymmetric GARCH-M (EGARCH-M, TGARCH-M, and PGARCH-M) were further applied. The findings from different versions of the ARDL(p,q1,q2)-(E,T,P)GARCH(1,1)-M model show that the ARDL-EGARCH-M model can capture the volatility and clustering of variability in job loss. The findings revealed asymmetry effects, suggesting that negative shocks (bad news) in a pandemic period increased volatility in job loss compared to positive shocks (good news). Policy implications relating to lockdown measures and news signals were provided. Taylor & Francis 2024-01 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/105756/1/Modelling%20volatility%20in%20job%20loss%20during%20the%20COVID-19%20pandemic%20%20The%20Malaysian%20case.pdf Habibullah, Muzafar Shah and Saari, Mohd Yusof and Maji, Ibrahim Kabiru and Haji Din, Badariah and Mohd Saudi, Nur Surayya (2024) Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case. Cogent Economics and Finance, 12 (1). pp. 1-26. ISSN 2332-2039 https://www.scopus.com/inward/record.uri?eid=2-s2.0-85181872386&doi=10.1080%2f23322039.2023.2291886&partnerID=40&md5=680052130e55f454fec9132f965f6788 10.1080/23322039.2023.2291886 |
| spellingShingle | Habibullah, Muzafar Shah Saari, Mohd Yusof Maji, Ibrahim Kabiru Haji Din, Badariah Mohd Saudi, Nur Surayya Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case |
| title | Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case |
| title_full | Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case |
| title_fullStr | Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case |
| title_full_unstemmed | Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case |
| title_short | Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case |
| title_sort | modelling volatility in job loss during the covid-19 pandemic: the malaysian case |
| url | http://psasir.upm.edu.my/id/eprint/105756/ http://psasir.upm.edu.my/id/eprint/105756/ http://psasir.upm.edu.my/id/eprint/105756/ http://psasir.upm.edu.my/id/eprint/105756/1/Modelling%20volatility%20in%20job%20loss%20during%20the%20COVID-19%20pandemic%20%20The%20Malaysian%20case.pdf |