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...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
Faculty of Economics and Management, Universiti Putra Malaysia
2012
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| Online Access: | http://psasir.upm.edu.my/id/eprint/51222/1/12-2.pdf |