Subscribe Now Subscribe Today
Science Alert
 
FOLLOW US:     Facebook     Twitter
Blue
   
Curve Top
The International Journal of Applied Economics and Finance
  Year: 2011 | Volume: 5 | Issue: 3 | Page No.: 226-236
DOI: 10.3923/ijaef.2011.226.236
GARCH Models and the Financial Crisis-A Study of the Malaysian Stock Market
A. Angabini and S. Wasiuzzaman

Abstract:
Financial market volatility is an important aspect when setting up strategies related to portfolio management, options pricing and market regulation. Occurrence of the global financial crisis of 2007/2008 affected all financial markets around the world and a major concern was about the volatility changes in stock markets. This study has investigated the change in volatility of the Malaysian stock market, with respect to the global financial crisis of 2007/2008, using both symmetric and asymmetric Generalized Autoregressive conditional heteroscedasticity (GARCH) models. Using the Kuala Lumpur Composite Index (KLCI), two periods are selected. The first period is from June 2000, after the recovery of the East Asian crisis, to the end of 2007 and excludes the global financial crisis 2007/2008 and the second period includes the crisis, i.e., from June 2000 to March 2010. AR (4) is found to be the best in modelling the conditional mean and GARCH (1, 1), EGARCH (1, 1), GJR-GARCH (1, 1) for conditional variance. As expected from financial time series, for both periods, the KLCI exhibits stylized characteristics such as leptokurtosis, clustering effect and asymmetric and leverage effect. It is also found that there was a significant increase in volatility and leverage effect but just a small drop in persistency due to the financial crisis.
 [Fulltext PDF]   [Fulltext HTML]   [XML: Abstract + References]   [References]   [View Citation]  [Report Citation]
 RELATED ARTICLES:
  •    Performance of Islamic Indices in Malaysia FTSE Market: Empirical Evidence from CAPM
  •    Strategic Asset Allocation and Portfolio Rebalancing with Anomalies: Evidence from Emerging Markets
  •    Estimating Stock Market Technical Efficiency for Truncated Normal Distribution: Evidence from Dhaka Stock Exchange
  •    A Validity Test of Capital Asset Pricing Model for Dhaka Stock Exchange
  •    Study of Stylized Facts in Indian Financial Markets
  •    Measuring the Time Varying Volatility of Futures and Options
  •    Comparison of ANFIS, ANN, GARCH and ARIMA Techniques to Exchange Rate Forecasting
  •    A Comparison of Univariate Time Series Methods for Forecasting Cocoa Bean Prices
How to cite this article:

A. Angabini and S. Wasiuzzaman, 2011. GARCH Models and the Financial Crisis-A Study of the Malaysian Stock Market. The International Journal of Applied Economics and Finance, 5: 226-236.

DOI: 10.3923/ijaef.2011.226.236

URL: https://scialert.net/abstract/?doi=ijaef.2011.226.236

COMMENTS
19 January, 2015
stock market malaysia:
I m now able to gain some of the useful information stock futures tips It will help me a lot for the initiative information.
 
COMMENT ON THIS PAPER
.
 
 
 
 

 

 
 
 
 
 
 
 
 
 

 
 
 
 
 

Curve Bottom