Forecasting stock market volatility on Bursa Malaysia Plantation Index

• Main Authors: Lee, Hui Shan, Ng, David Ching Yat, Lau, Teck Chai, Ng, Chee Hong
• Format: Article
• Language: English
• Published: Scientific & Academic Publishing 2016
• Online Access: http://psasir.upm.edu.my/id/eprint/51077/1/Forecasting%20stock%20market%20volatility%20on%20Bursa%20Malaysia%20Plantation%20Index.pdf; http://psasir.upm.edu.my/id/eprint/51077/; http://article.sapub.org/10.5923.j.ijfa.20160501.07.html#Abs

This research applies the Bursa Malaysia Plantation Index to examine the most suitable forecasting model. The Plantation Index is studied because Malaysia is the world second largest in oil palm producer. Additionally, volatile crude palm oil price has resulted in the Plantation Index becoming more...