Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar by Mohd Sidek, Noor Zahirah, Abidin, Norridzwan, Umar, Azli

“…Specifically, the objective of this paper is to examine the impact of exchange rate regime on selected stock market return volatility. We draw on GARCH(1,1) to capture volatility clustering phenomenon. …”
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Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui by Rejeb, Aymen Ben, Arfaoui, Mongi

“…For this purpose, we use updated data including the recent financial instability periods and a relevant methodology based on the time varying parameter model combined with a GARCH specification, a Granger non-causal test and a structural break points technique. …”
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Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries by Mori Kogid, Jaratin Lily, Rozilee Asid, James M. Alin, Dullah Mulok

“…This study delves into the relationship between Malaysia and several countries—China, Singapore, Japan and the United States of America (USA), through FDI relations using the multivariate GARCH model. The annual time series data was used over the period of 1982 to 2017. …”
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Growth volatility in the inflation-targeting regime: Evidence from Indonesia by Haryo Kuncoro, Fafurida Fafurida, Izaan Azyan Abdul Jamil

“…The internal and external stabilities are prerequisites for promoting economic growth. Using a two-stage GARCH, we investigated the effect of inflation instability and exchange rate unpredictability on the economic growth uncertainty in the case of Indonesia over the period 2000(1)– 2022(12). …”
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Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange by Mohamad, Azhar, Bacha, Obiyathulla Ismath, Ibrahim, Mansor

“…We address a total of four research questions using both a simple OLS model and a GARCH (1,1) specification. Three daily return measures, CTC, OTC, CTO are used. …”
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Impak pengenalan instrumen derivatif terhadap kemeruapan pulangan saham di pasaran semerta: satu kajian empirik di Bursa Malaysia by Zaidi Isa

“…Dengan menggunakan model GARCH terubahsuai iaitu dengan mengambil kira kesan perubahan struktur. …”

Causal relationship between the volatility of stock market and selected macroeconomic variables: case of Malaysia by Lida Nikmanesh, Abu Hassan Shaari Md Nor, Tamat Sarmidi, Hawati Janor

“…Firstly, in order to estimate the volatility of each series, the well-known GARCH family models are employed. The empirical stylized facts in the stock indices and the macroeconomic variables are presented. …”
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Alteration Of Risk In Asian Bond Markets During And After Mortgage Crisis: Evidence From Value At Risk (Var) Analysis by Günay, Samet

“…Risk measurement is conducted via Value at Risk (VaR) analysis, with models (GARCH (1.1) and FIGARCH (1.d.1)) in order to consider changes in variance over time. …”
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The miracles impact of inflation rates on stock market returns volatility evidence from Asia: Developing countries Vs Developed countries / Aripuddin Bin Ambo by Ambo, Aripuddin

“…In this study, we use Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to estimate the volatility return of stock market for each given country. …”
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Macroeconomic Determinants Of Stock Market Volatility: An Empirical Study Of Malaysia And Indonesia by Nikmanesh, Lida, Mohd Nor, Abu Hassan Shaari

“…Firstly, in order to estimate the conditional volatility of each series, GARCH family models are employed. Secondly, a Seemingly Unrelated Regression (SUR) is utilized to determine whether any significant relationship exists between stock volatility and macroeconomic volatility. …”
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Diversification In Crude Oil And Other Commodities: A Comparative Analysis by Abdullah, Ahmad Monir, Mohammed Masih, Abul Mansur

“…In order to address the research objectives, we have applied the vector error-correction test and several recently introduced econometric techniques such as the Maximum Overlap Discrete Wavelet Transform (MODWT), Continuous Wavelet Transform (CWT) and Multivariate GARCH – Dynamic Conditional Correlation. The data used in this paper is the daily data of seven commodities (crude oil, gas, gold, silver, copper, soybean and corn) prices from 1 January 2007 until 31 December 2013. …”
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Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific by Alom, Fardous, Bert, Ward, Baiding, Hu

“…The principal method of analysis is a set of component GARCH-type models of conditional variance. Mean and volatility spillover effects of food prices are examined across a full (1995-2010) sample and two subsamples (1995-2001 and 2002-2010), using daily food price indices. …”
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Halaju wang di Malaysia: bukti empirik by Abdul Karim, Zulkefly, Jusoh, Mansor, Khalid, Norlin

“…Design/Methodology/Approach - This study employed recent econometric techniques such as volatility model in ARCH and GARCH frameworks, Johansen co integration test, and Vector Error Correction Model (VECM). …”
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Stock market linkage between China and ASEAN-6 countries: Integration perspective by Zhang Jinghua, Mori Kogid

“…This paper examines the integration process and time-varying characteristics of major stock markets in China and ASEAN6 countries (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam). Based on the DCC-GARCH model as related to the daily stock index return data of China and the ASEAN-6, from July 2000 to December 2022, our study showed that the dynamic correlation between the stock markets of China and the ASEAN-6 was significantly enhanced during the sample period. …”
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Moment Properties And Quadratic Estimating Functions For Integer-Valued Time Series Models by Mohamed, Ibrahim, Mohamad, Nurul Najihah, Ng, Kok Haur

“…Specifically, we derive the optimal function for the integer-valued GARCH (p, q) known as INGARCH (p, q) model. Simulation study is carried out to compare the performance of QEF estimates with corresponding maximum likelihood (ML) and least squares (LS) estimates for the INGARCH (1,1) model with different sets of parameters. …”

South African real estate investment trusts prefer Tuesdays by Ajayi, Oluwaseun Damilola, Gavu, Emmanuel Kofi

“…Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal–Wallis (KW) tests were performed on data obtained from the IRESS Expert database from 2013 to 2021. …”
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Modeling price volatility of Sarawak pepper / Jelani Razali by Razali, Jelani

“…The best fit model to capture the asymmetry effect and volatility persistence of Sarawak pepper price series black and white pepper at Kuching and New York spot market is the GARCH (1,1) model……”
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Kesan kemeruapan kadar bunga/kadar keuntungan ke atas hasil sekuriti Kerajaan Malaysia by Mohammad Bahar, Nor Fadzlin

“…Kajian ini bertujuan untuk melihat kesan kemeruapan kadar bunga jangka pendek ke atas hasil sekuriti kerajaan Malaysia dan kekuatan hubungan tersebut bagi sekuriti kerajaan Malaysia berjangka panjang.Secara perbandingan, kajian ini turut melihat kesan kemeruapan kadar keuntungan jangka pendek ke atas hasil sekuriti kerajaan Malaysia yang diisu secara prinsip Syariah.Dengan meletakkan kadar bunga dan kadar keuntungan jangka pendek sebagai pemboleh ubah stokastik dalam model GARCH-M didapati kemeruapan kadar bunga jangka pendek Bil Perbendaharaan Malaysia tiga bulan mempengaruhi hasil Sekuriti Kerajaan Malaysia 10 dan 20 tahun secara positif dan signifikan.Sekuriti Kerajaan Malaysia lima dan tujuh tahun turut menunjukkan hubungan yang positif tetapi tidak signifikan.Menariknya, hubungan positif di antara kemeruapan kadar bunga dan hasil sekuriti kerajaan bagi keempat-empat sekuriti kerajaan tersebut adalah semakin bermakna apabila tempoh matang semakin panjang.Situasi yang sama turut ditemui dalam analisis sekuriti kerajaan berprinsip Syariah iaitu wujud hubungan yang positif dan signifikan di antara kemeruapan kadar keuntungan jangka pendek Bil Perbendaharaan Islam Malaysia tiga bulan ke atas hasil Terbitan Pelaburan Kerajaan lima dan tujuh tahun.Nilai signifikan kedua-dua sekuriti tersebut juga menunjukkan hubungan positif yang semakin bermakna apabila tempoh matang Terbitan Pelaburan Kerajaan meningkat dari lima tahun ke tujuh tahun.…”
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Portfolio risk analysis : conditional estimates of value-at-risk and international volatility spillovers by Giannopoulos, Konstantinos

“…We found that VaR models using exponential smoothing techniques are not inferior to those based on the more advanced multivariate GARCH volatility estimates. Furthermore, in this thesis we proposed a VaR methodology which overcomes many limitations of the above and other VaR models, i.e. dimentionality and stability of the correlation matrix, and unlike them does not requires a specification of the probability distribution of returns used in the calculation of the VaR and worst case scenarios. …”
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