Comparative performance of ARIMA and GARCH Models in modelling and forecasting volatility of Malaysia market properties and shares

• Main Authors: Miswan, Nor Hamizah, Hamzah, Khairum, Ngatiman, Nor Azazi, Zamzamir Zamzamin, Zaminor
• Format: Article
• Language: English
• Published: HIKARI LTD 2014
• Subjects: QA Mathematics
• Online Access: http://eprints.utem.edu.my/id/eprint/13950/1/Nor_Hamizah%27s_Journal_%285%29.pdf; http://eprints.utem.edu.my/id/eprint/13950/; http://www.m-hikari.com/; http://dx.doi.org/10.12988/ams.2014.47548

Market properties and shares are important in the field of finance in order to measure the economic growth of a country. These market properties are volatile time series as they have huge price swings in a shortage or an oversupply period. In this study, we use two time series models which are Box-J...