Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model

Cheong Chin

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 4, 889-898

Abstract: This article investigated the influences of structural breaks on the fractionally integrated time-varying volatility model in the Malaysian stock markets which included the Kuala Lumpur composite index and four major sectoral indices. A fractionally integrated time-varying volatility model combined with sudden changes is developed to study the possibility of structural change in the empirical data sets. Our empirical results showed substantial reduction in fractional differencing parameters after the inclusion of structural change during the Asian financial and currency crises. Moreover, the fractionally integrated model with sudden change in volatility performed better in the estimation and specification evaluations.

Keywords: Fractionally integrated; Time-varying volatility; Structural change; Financial time series (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:4:p:889-898

DOI: 10.1016/j.physa.2007.10.025

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