@article {10.3844/ajassp.2008.683.688,
article_type = {journal},
title = {Volatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated Approach },
author = {Cheong, Chin Wen},
volume = {5},
year = {2008},
month = {Jun},
pages = {683-688},
doi = {10.3844/ajassp.2008.683.688},
url = {https://thescipub.com/abstract/ajassp.2008.683.688},
abstract = {This study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for comparison purposes. Our empirical results evidence the proxy of absolute return and ARCH-type volatility model provides better performances in both the estimation and forecasting evaluations.},
journal = {American Journal of Applied Sciences},
publisher = {Science Publications}
}