A comparison forecasting models for ASEAN equity markets
This paper compares six models for forecasting the performance of the ASEAN equity markets of Malaysia, Singapore, Thailand, Indonesia and the Philippines before, during and after the Asian financial crisis. In the precrisis period, the OLS, ARCH-M and TARCH models have better forecasting performanc...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | en |
| Published: |
Sunway University College
2005
|
| Subjects: | |
| Online Access: | http://eprints.sunway.edu.my/23/1/wong1.pdf http://eprints.sunway.edu.my/23/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1831341238335307776 |
|---|---|
| author | Wong, Yoke Chen * Kok, Kim Lian |
| author_facet | Wong, Yoke Chen * Kok, Kim Lian |
| author_sort | Wong, Yoke Chen * |
| building | Sunway Campus Library |
| collection | Institutional Repository |
| content_provider | Sunway University |
| content_source | Sunway Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | This paper compares six models for forecasting the performance of the ASEAN equity markets of Malaysia, Singapore, Thailand, Indonesia and the Philippines before, during and after the Asian financial crisis. In the precrisis period, the OLS, ARCH-M and TARCH models have better forecasting performance than the other models. In the crisis period, the ARCH-M model has the best forecast performance for three markets, while the remaining two markets are best forecast with the random walk model. However, in the post-crisis period, the TARCH and EGARCH models are found to be the most suitable models. The different variants of the GARCH model adequately captured the time-varying returns volatility. But the asymmetry of the market returns is not significant in all the markets modelled by the TARCH and EGARCH models. |
| format | Article |
| id | my.sunway.eprints.23 |
| institution | Sunway University |
| language | en |
| publishDate | 2005 |
| publisher | Sunway University College |
| record_format | eprints |
| spelling | my.sunway.eprints.232012-10-15T03:15:52Z http://eprints.sunway.edu.my/23/ A comparison forecasting models for ASEAN equity markets Wong, Yoke Chen * Kok, Kim Lian HF Commerce HG Finance QA Mathematics This paper compares six models for forecasting the performance of the ASEAN equity markets of Malaysia, Singapore, Thailand, Indonesia and the Philippines before, during and after the Asian financial crisis. In the precrisis period, the OLS, ARCH-M and TARCH models have better forecasting performance than the other models. In the crisis period, the ARCH-M model has the best forecast performance for three markets, while the remaining two markets are best forecast with the random walk model. However, in the post-crisis period, the TARCH and EGARCH models are found to be the most suitable models. The different variants of the GARCH model adequately captured the time-varying returns volatility. But the asymmetry of the market returns is not significant in all the markets modelled by the TARCH and EGARCH models. Sunway University College 2005 Article PeerReviewed text en http://eprints.sunway.edu.my/23/1/wong1.pdf Wong, Yoke Chen * and Kok, Kim Lian (2005) A comparison forecasting models for ASEAN equity markets. Sunway Academic Journal, 2. pp. 1-12. |
| spellingShingle | HF Commerce HG Finance QA Mathematics Wong, Yoke Chen * Kok, Kim Lian A comparison forecasting models for ASEAN equity markets |
| title | A comparison forecasting models for ASEAN equity markets |
| title_full | A comparison forecasting models for ASEAN equity markets |
| title_fullStr | A comparison forecasting models for ASEAN equity markets |
| title_full_unstemmed | A comparison forecasting models for ASEAN equity markets |
| title_short | A comparison forecasting models for ASEAN equity markets |
| title_sort | comparison forecasting models for asean equity markets |
| topic | HF Commerce HG Finance QA Mathematics |
| url | http://eprints.sunway.edu.my/23/1/wong1.pdf http://eprints.sunway.edu.my/23/ |
| url_provider | http://eprints.sunway.edu.my/ |