مقایسه عملکرد مدل های نوع گارچ در گرفتن نوسانات بازار سهام مالزی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|19583||2013||10 صفحه PDF||سفارش دهید||4016 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Procedia Economics and Finance, Volume 5, 2013, Pages 478–487
We conduct empirical analyses to model the volatility of stock market in Malaysia. The GARCH type models (symmetric and asymmetric GARCH) are used to model the volatility of stock market in Malaysia. Their performances are compared based on three statistical error measures tools, i.e. mean squared error, root means squared error and mean absolute percentage error for in sample and out sample analyses. Apart from that, we also determine the factors contribute to the stock market movements. The data is ranging from January 1990 to December 2010. The data is divided into three time frames, i.e. pre-crisis 1997, during crisis and post-crisis 1997. Our results reveal that symmetric and asymmetric GARCH models have different performances in different time frames. In general, for the normal period (pre and post-crisis), symmetric GARCH model perform better than the asymmetric GARCH but for fluctuation period (crisis period), asymmetric GARCH model is preferred. Our results also show that exchange rate and crude oil price have significant impacts on the Malaysia stock market volatility in the pre-crisis and post-crisis periods and but the impact is not significant in the crisis period.
نتیجه گیری انگلیسی
We conduct comparative analyses in evaluating the forecasting performance of symmetric and asymmetric GARCH-type models in capturing stock market volatility in Malaysia. These models include GARCH, TGARCH and EGARCH models. These models are evaluated using three error measures which are MSE, RMSE and MAPE. We divide the data into three sub-periods, i.e. pre-crisis, crisis and post-crisis of 1Asia financial periods. Our results show that the performances of these models vary across periods and error measurement methods. . In general, the total rank show that GARCH/ TGARCH model perform the best in the pre-crisis period while GARCH model works well during the crisis and TGARCH model work well in the post-crisis period in capturing the stock market volatility in Malaysia. The evaluation results are coincide with the results of estimation which imply symmetric GARCH works well in the pre-crisis period and asymmetric GARCH model(s) can be the better model in capturing volatility of stock market Malaysia in the crisis and post-crisis periods.