Forecasting Malaysian stock market volatility

• المؤلفون الرئيسيون: Ng, Chee Pung, Md Nassir, Annuar, Hassan, Taufiq
• التنسيق: Conference or Workshop Item
• اللغة: English
• منشور في: Faculty of Economics and Management, Universiti Putra Malaysia 2012
• الوصول للمادة أونلاين: http://psasir.upm.edu.my/id/eprint/51222/1/12-2.pdf; http://psasir.upm.edu.my/id/eprint/51222/

This study evaluates a battery of forecasting volatility models using daily data of the FTSE Bursa Malaysia CI Index. The forecasting models include random walk model, historical mean model, and moving average models. The mean error statistic, mean absolute error statistic, root mean squared error s...