Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
976546 | Physica A: Statistical Mechanics and its Applications | 2008 | 10 Pages |
Abstract
This article investigated the influences of structural breaks on the fractionally integrated time-varying volatility model in the Malaysian stock markets which included the Kuala Lumpur composite index and four major sectoral indices. A fractionally integrated time-varying volatility model combined with sudden changes is developed to study the possibility of structural change in the empirical data sets. Our empirical results showed substantial reduction in fractional differencing parameters after the inclusion of structural change during the Asian financial and currency crises. Moreover, the fractionally integrated model with sudden change in volatility performed better in the estimation and specification evaluations.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Chin Wen Cheong,