Forecasting currency in circulation in Malaysia using arch and garch models
The monthly economic time series commonly contains the volatility periods and it is suitable to apply the Heteroscedastic model to it where the conditional variance is not constant throughout the time trend. The aim of this study is to model and forecast the currency in circulation (CIC) in Malaysia...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Publons
2018
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| Online Access: | http://eprints.uthm.edu.my/5913/1/AJ%202018%20%28651%29.pdf |
| _version_ | 1796869277780803584 |
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| author | Abdul Razak, Nur Azreen Khamis, Azme Abdullah, Mohd Asrul Affendi Sufahani, Suliadi Firdaus |
| author_facet | Abdul Razak, Nur Azreen Khamis, Azme Abdullah, Mohd Asrul Affendi Sufahani, Suliadi Firdaus |
| author_sort | Abdul Razak, Nur Azreen |
| collection | UTHM |
| description | The monthly economic time series commonly contains the volatility periods and it is suitable to apply the Heteroscedastic model to it where the conditional variance is not constant throughout the time trend. The aim of this study is to model and forecast the currency in circulation (CIC) in Malaysia over the time period, from January 1998 to January 2016. Two methods are considered, which are Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the Root Mean Square Error (RMSE) as the forecasting performance measure, this study concludes that GARCH is a more appropriate model compared to ARCH. |
| first_indexed | 2024-03-05T21:52:28Z |
| format | Article |
| id | uthm.eprints-5913 |
| institution | Universiti Tun Hussein Onn Malaysia |
| language | English |
| last_indexed | 2024-03-05T21:52:28Z |
| publishDate | 2018 |
| publisher | Publons |
| record_format | dspace |
| spelling | uthm.eprints-59132022-01-24T08:49:57Z http://eprints.uthm.edu.my/5913/ Forecasting currency in circulation in Malaysia using arch and garch models Abdul Razak, Nur Azreen Khamis, Azme Abdullah, Mohd Asrul Affendi Sufahani, Suliadi Firdaus TA177.4-185 Engineering economy The monthly economic time series commonly contains the volatility periods and it is suitable to apply the Heteroscedastic model to it where the conditional variance is not constant throughout the time trend. The aim of this study is to model and forecast the currency in circulation (CIC) in Malaysia over the time period, from January 1998 to January 2016. Two methods are considered, which are Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the Root Mean Square Error (RMSE) as the forecasting performance measure, this study concludes that GARCH is a more appropriate model compared to ARCH. Publons 2018 Article PeerReviewed text en http://eprints.uthm.edu.my/5913/1/AJ%202018%20%28651%29.pdf Abdul Razak, Nur Azreen and Khamis, Azme and Abdullah, Mohd Asrul Affendi and Sufahani, Suliadi Firdaus (2018) Forecasting currency in circulation in Malaysia using arch and garch models. Current Journal of Applied Science and Technology, 27 (1). pp. 1-5. ISSN 2457-1024 https://doi.org/10.9734/CJAST/2018/40358 |
| spellingShingle | TA177.4-185 Engineering economy Abdul Razak, Nur Azreen Khamis, Azme Abdullah, Mohd Asrul Affendi Sufahani, Suliadi Firdaus Forecasting currency in circulation in Malaysia using arch and garch models |
| title | Forecasting currency in circulation in Malaysia using arch and garch models |
| title_full | Forecasting currency in circulation in Malaysia using arch and garch models |
| title_fullStr | Forecasting currency in circulation in Malaysia using arch and garch models |
| title_full_unstemmed | Forecasting currency in circulation in Malaysia using arch and garch models |
| title_short | Forecasting currency in circulation in Malaysia using arch and garch models |
| title_sort | forecasting currency in circulation in malaysia using arch and garch models |
| topic | TA177.4-185 Engineering economy |
| url | http://eprints.uthm.edu.my/5913/1/AJ%202018%20%28651%29.pdf |
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