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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2007
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| Online Access: | 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 |