On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH

• Main Authors: Abu Hassan Shaari Mohd Nor,, Tan, Yan Ling,, Fauziah Maarof,
• 格式: Article
• 語言: English
• 出版: Universiti Kebangsaan Malaysia 2007
• 在線閱讀: http://journalarticle.ukm.my/101/1/1.pdf; http://journalarticle.ukm.my/101/

The main objective of this paper is to explore the varying volatility dynamic of inflation rate in Malaysia for the period from January 1980 to December 2004. The GARCH, GARCH-Mean, EGARCH and EGARCH-Mean models are used to capture the stochastic variation and asymmetries in the economic instruments...