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 |
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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 |
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| author | Mohd Nor, Abu Hassan Shaari Tan, Yan Ling Maarof, Fauziah |
| author_facet | Mohd Nor, Abu Hassan Shaari Tan, Yan Ling Maarof, Fauziah |
| author_sort | Mohd Nor, Abu Hassan Shaari |
| collection | UPM |
| description | 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 instruments. Results show that the EGARCH model gives better estimates of sub-periods volatility. Further analysis using Granger causality test show that there is sufficient empirical evidence that higher inflation rate level will result in higher future inflation uncertainty and higher level of inflation uncertainty will lead to lower future inflation rate. |
| first_indexed | 2024-03-06T08:10:32Z |
| format | Article |
| id | upm.eprints-28159 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T08:10:32Z |
| publishDate | 2007 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | dspace |
| spelling | upm.eprints-281592016-02-02T05:35:42Z http://psasir.upm.edu.my/id/eprint/28159/ On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models Mohd Nor, Abu Hassan Shaari Tan, Yan Ling Maarof, Fauziah 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 instruments. Results show that the EGARCH model gives better estimates of sub-periods volatility. Further analysis using Granger causality test show that there is sufficient empirical evidence that higher inflation rate level will result in higher future inflation uncertainty and higher level of inflation uncertainty will lead to lower future inflation rate. Penerbit Universiti Kebangsaan Malaysia 2007 Article PeerReviewed application/pdf en 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 Mohd Nor, Abu Hassan Shaari and Tan, Yan Ling and Maarof, Fauziah (2007) On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models. Sains Malaysiana, 36 (2). pp. 225-232. ISSN 0126-6039 http://www.ukm.my/jsm/english_journals/vol36num2_2007/vol36num2_07page225-232.html |
| spellingShingle | Mohd Nor, Abu Hassan Shaari Tan, Yan Ling Maarof, Fauziah On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models |
| title | On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models |
| title_full | On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models |
| title_fullStr | On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models |
| title_full_unstemmed | On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models |
| title_short | On the relationship between inflation rate and inflation uncertainty: an application of the GARCH family models |
| title_sort | on the relationship between inflation rate and inflation uncertainty an application of the garch family models |
| url | 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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