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 |
| _version_ | 1825930487719264256 |
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| author | Ng, Chee Pung Md Nassir, Annuar Hassan, Taufiq |
| author_facet | Ng, Chee Pung Md Nassir, Annuar Hassan, Taufiq |
| author_sort | Ng, Chee Pung |
| collection | UPM |
| description | 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 statistic, mean absolute percentage error statistic, under-predictions mean mixed error, and over-prediction mean mixed error were used to evaluate precision of forecasts. The results suggested that the 3 years moving average model offered advanced forecasts volatility information. Nevertheless, the different models rankings indicated that they are sensitive toward the error statistic employed in evaluating the precision of the forecasts. |
| first_indexed | 2024-03-06T09:12:17Z |
| format | Conference or Workshop Item |
| id | upm.eprints-51222 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:12:17Z |
| publishDate | 2012 |
| publisher | Faculty of Economics and Management, Universiti Putra Malaysia |
| record_format | dspace |
| spelling | upm.eprints-512222017-04-03T05:48:48Z http://psasir.upm.edu.my/id/eprint/51222/ Forecasting Malaysian stock market volatility Ng, Chee Pung Md Nassir, Annuar Hassan, Taufiq 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 statistic, mean absolute percentage error statistic, under-predictions mean mixed error, and over-prediction mean mixed error were used to evaluate precision of forecasts. The results suggested that the 3 years moving average model offered advanced forecasts volatility information. Nevertheless, the different models rankings indicated that they are sensitive toward the error statistic employed in evaluating the precision of the forecasts. Faculty of Economics and Management, Universiti Putra Malaysia 2012 Conference or Workshop Item PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/51222/1/12-2.pdf Ng, Chee Pung and Md Nassir, Annuar and Hassan, Taufiq (2012) Forecasting Malaysian stock market volatility. In: National Research & Innovation Conference for Graduate Students in Social Sciences (GS-NRIC 2012), 7-9 Dec. 2012, Mahkota Hotel, Melaka. (pp. 40-49). |
| spellingShingle | Ng, Chee Pung Md Nassir, Annuar Hassan, Taufiq Forecasting Malaysian stock market volatility |
| title | Forecasting Malaysian stock market volatility |
| title_full | Forecasting Malaysian stock market volatility |
| title_fullStr | Forecasting Malaysian stock market volatility |
| title_full_unstemmed | Forecasting Malaysian stock market volatility |
| title_short | Forecasting Malaysian stock market volatility |
| title_sort | forecasting malaysian stock market volatility |
| url | http://psasir.upm.edu.my/id/eprint/51222/1/12-2.pdf |
| work_keys_str_mv | AT ngcheepung forecastingmalaysianstockmarketvolatility AT mdnassirannuar forecastingmalaysianstockmarketvolatility AT hassantaufiq forecastingmalaysianstockmarketvolatility |