Open AccessVolatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated Approach
Author(s) -
Chin Wen Cheong
Publication year - 2008
Publication title -
american journal of applied sciences
Language(s) - English
Resource type - Journals
eISSN - 1554-3641
pISSN - 1546-9239
DOI - 10.3844/ajassp.2008.683.688
Subject(s) - volatility (finance) , econometrics , stock market , empirical research , financial economics , stock (firearms) , economics , business , engineering , mathematics , statistics , geography , context (archaeology) , archaeology , mechanical engineering
This study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for comparison purposes. Our empirical results evidence the proxy of absolute return and ARCH-type volatility model provides better performances in both the estimation and forecasting evaluations