Modelling volatility in job loss during the COVID-19 pandemic: the Malaysian case

• Main Authors: Habibullah, Muzafar Shah, Saari, Mohd Yusof, Maji, Ibrahim Kabiru, Haji Din, Badariah, Mohd Saudi, Nur Surayya
• Format: Article
• Language: English
• Published: Taylor & Francis 2024
• Online Access: http://psasir.upm.edu.my/id/eprint/105756/1/Modelling%20volatility%20in%20job%20loss%20during%20the%20COVID-19%20pandemic%20%20The%20Malaysian%20case.pdf; http://psasir.upm.edu.my/id/eprint/105756/; https://www.scopus.com/inward/record.uri?eid=2-s2.0-85181872386&doi=10.1080%2f23322039.2023.2291886&partnerID=40&md5=680052130e55f454fec9132f965f6788

This study employs a suitable volatility model that examines the impact of COVID-19 new cases and deaths on the volatility of daily job loss in Malaysia. Autoregressive Distributed Lag (ARDL) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) were employed as the modelling strateg...