Sains Malaysiana 37(4): 405-411(2008)

 

Fractionally Integrated Time-Varying Volatility under Structural Break: Evidence from Kuala Lumpur Composite Index

(Kemeruapan Merentas Masa Secara Pecahan Bersepadu  di Bawah Perubahan

Struktur: Bukti Daripada Indeks Komposit Kuala Lumpur)

 

Chin Wen Cheong

Faculty of Information Technology

Multimedia University, 63100 Cyberjaya

Selangor, Malaysia

 

Zaidi Isa

Faculty of Science Technology, Universiti Kebangsaan Malaysia

43600 Bangi, Selangor, Malaysia

 

Abu Hassan Shaari Mohd. Nor

Faculty of Economic and Business, Universiti Kebangsaan Malaysia

43600 Bangi, Selangor, Malaysia 

 

Received  :   4 July 2007 / Accepted :   22 January 2008 

 

ABSTRACT

 

This article study the influences of structural break to the fractionally integrated time-varying volatility model in Malaysian stock markets from year 1996 to 2006.  A fractionally integrated autoregressive conditional heteroscedastic (FIGARCH) model combines with sudden changes of volatility is develops to study the possibility of structural change in Asian financial crisis and currency crisis.  Our empirical results evidence substantially reduction in long memory clustering volatility after the inclusion of sudden changes in the volatility. Finally, the estimation, diagnostic and model selection evaluations indicate that the fractionally integrated model with structural change is out-performed compared to the standard model.

 

Keywords: Financial time series; statistical methodology 

 

ABSTRAK

 

Makalah ini mengkaji kesan perubahan struktur terhadap model pecahan bersepadu (FI) kemeruapan dalam bursa saham Malaysia dari 1996 ke 2006.  Model FIGARCH dengan combinasi perubahan struktur dibina untuk mengkaji kemungkinan perubahan struktur yang disebabkan oleh krisis kewangan Asia dan krisis matawang.  Keputusan empirik menunjukkan pengurangan di dalam kesan kemeruapan jangka panjang selepas mengambil kira kesan struktur perubahan. Pada kesimpulan, model FI dengan struktur perubahan menunjukkan keputusan penilaian pengganggaran, dignostik dan pemilihan model  yang lebih baik jika dibandingkan dengan model-model lain.

 

Kata kunci: Kemeruapan siri masa kewangan; metodologi statistik

 

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