TY  - JOUR
AU  - Cheong, Chin Wen 
PY  - 2008
TI  - Volatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated Approach 
JF  - American Journal of Applied Sciences
VL  - 5
IS  - 6
DO  - 10.3844/ajassp.2008.683.688
UR  - https://thescipub.com/abstract/ajassp.2008.683.688
AB  - 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.