Forecasting Malaysian stock market volatility

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Forecasting Malaysian stock market volatility

This study evaluates a battery of forecasting volatility models using daily data of the FTSE Bursa Malaysia CI Index. The forecasting models include random walk model, historical mean model, and moving average models. The mean error statistic, mean absolute error statistic, root mean squared error s...

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Bibliographic Details
Main Authors:	Ng, Chee Pung, Md Nassir, Annuar, Hassan, Taufiq
Format:	Conference or Workshop Item
Language:	English
Published:	Faculty of Economics and Management, Universiti Putra Malaysia 2012
Online Access:	http://psasir.upm.edu.my/id/eprint/51222/ http://psasir.upm.edu.my/id/eprint/51222/1/12-2.pdf

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