Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M

The purpose of the present paper is to investigate the long-run and short-run relationships between the loss of employment and the Covid-19 pandemic in Malaysia’s labour market. The Covid-19 measures in-clude the number of Covid-19 new cases, the number of Covid-19 new deaths, the number of total Co...

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Main Authors: Muzafar Shah, Habibullah, Evan, Lau, Badariah, Haji Din, Muhammad Daaniyall, Abd Rahman, Musalman Ahmad, Iskandar Shah
Format: Article
Language:English
Published: Portuguese Association for Regional Development (APDR). 2022
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Online Access:http://ir.unimas.my/id/eprint/38214/1/Cointegration1.pdf
http://ir.unimas.my/id/eprint/38214/
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spelling my.unimas.ir.382142023-10-02T06:25:05Z http://ir.unimas.my/id/eprint/38214/ Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M Muzafar Shah, Habibullah Evan, Lau Badariah, Haji Din Muhammad Daaniyall, Abd Rahman Musalman Ahmad, Iskandar Shah HA Statistics HB Economic Theory HJ Public Finance The purpose of the present paper is to investigate the long-run and short-run relationships between the loss of employment and the Covid-19 pandemic in Malaysia’s labour market. The Covid-19 measures in-clude the number of Covid-19 new cases, the number of Covid-19 new deaths, the number of total Covid-19 cases and the Covid-19 fear index. Using cointegration analysis, we found that the loss of employment exhibit long-run relationships with the four Covid-19 measures. Our short-run analysis using the PGARCH-M model able to captures the volatility and clustering of the variability in the loss of employment. The PGARCH-M model shows evidence of the leverage effects or asymmetric effects which suggest that the positive shocks (good news) increase volatility in the loss of employment, more than the negative shocks (bad news) in a crisis situation. Portuguese Association for Regional Development (APDR). 2022-01-24 Article PeerReviewed text en http://ir.unimas.my/id/eprint/38214/1/Cointegration1.pdf Muzafar Shah, Habibullah and Evan, Lau and Badariah, Haji Din and Muhammad Daaniyall, Abd Rahman and Musalman Ahmad, Iskandar Shah (2022) Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M. Revista Portuguesa de Estudos Regionais, 60 (1). pp. 9-31. ISSN 1645-586X; e-ISSN 2184-9269 https://www.review-rper.com/index.php/rper https://www.review-rper.com/index.php/rper/article/view/338/257
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HA Statistics
HB Economic Theory
HJ Public Finance
spellingShingle HA Statistics
HB Economic Theory
HJ Public Finance
Muzafar Shah, Habibullah
Evan, Lau
Badariah, Haji Din
Muhammad Daaniyall, Abd Rahman
Musalman Ahmad, Iskandar Shah
Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M
description The purpose of the present paper is to investigate the long-run and short-run relationships between the loss of employment and the Covid-19 pandemic in Malaysia’s labour market. The Covid-19 measures in-clude the number of Covid-19 new cases, the number of Covid-19 new deaths, the number of total Covid-19 cases and the Covid-19 fear index. Using cointegration analysis, we found that the loss of employment exhibit long-run relationships with the four Covid-19 measures. Our short-run analysis using the PGARCH-M model able to captures the volatility and clustering of the variability in the loss of employment. The PGARCH-M model shows evidence of the leverage effects or asymmetric effects which suggest that the positive shocks (good news) increase volatility in the loss of employment, more than the negative shocks (bad news) in a crisis situation.
format Article
author Muzafar Shah, Habibullah
Evan, Lau
Badariah, Haji Din
Muhammad Daaniyall, Abd Rahman
Musalman Ahmad, Iskandar Shah
author_facet Muzafar Shah, Habibullah
Evan, Lau
Badariah, Haji Din
Muhammad Daaniyall, Abd Rahman
Musalman Ahmad, Iskandar Shah
author_sort Muzafar Shah, Habibullah
title Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M
title_short Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M
title_full Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M
title_fullStr Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M
title_full_unstemmed Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models = Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M
title_sort long-run and short-run relationships between covid-19 and the loss of employment in malaysia: evidence using garch-m, egarch-m and pgarch-m models = relações de longo e curto prazo entre covid-19 e perda de empregos na malásia: evidência usando modelos garch-m, egarch-m e pgarch-m
publisher Portuguese Association for Regional Development (APDR).
publishDate 2022
url http://ir.unimas.my/id/eprint/38214/1/Cointegration1.pdf
http://ir.unimas.my/id/eprint/38214/
https://www.review-rper.com/index.php/rper
https://www.review-rper.com/index.php/rper/article/view/338/257
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score 13.154949