On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models

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On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models

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 instrument...

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Bibliographic Details
Main Authors:	Mohd Nor, Abu Hassan Shaari, Tan, Yan Ling, Maarof, Fauziah
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2007
Online Access:	http://psasir.upm.edu.my/id/eprint/28159/ http://psasir.upm.edu.my/id/eprint/28159/1/On%20the%20relationship%20between%20inflation%20rate%20and%20inflation%20uncertainty%20an%20application%20of%20the%20GARCH%20family%20models.pdf

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