Sains Malaysiana 35(1): 67-73 (2006)

Long Memory and Asymmetric Volatility Behaviour of the Malaysian

Stock Market: A Statistical Modelling Approach

(Tabiat Kemeruapan Ingatan Berpanjangan dan Asimetrik Pasaran Saham Malaysia:

Satu Pendekatan Permodalan Berstatistik)

Abu Hassan Shaari Mohd Nor & Chin Wen Cheong

Pusat Pengajian Ekonomi

Fakulti Ekonomi dan Perniagaan

Universiti Kebangsaan Malaysia

43000 UKM Bangi, Selangor D.E. Malaysia

ABSTRAK

Kajian terhadap kesan kebergantungan kemeruapan ingatan berpanjangan (long memory) dan asimetrik bagi harga indeks komposit harian di Bursa Malaysia telah dilakukan menggunakan model keluarga GARCH. Model keluarga GARCH digunakan dengan andaian siri kejutan (innovation series) bertaburan Gaussian, student-t dan student-t pencong (skewed student-t). Kesan kebergantungan ingatan berpanjangan pula dikaji menggunakan parameter Hurst. Model GARCH terintegrasi separa (fractionally integrated) dipadankan untuk melihat kesan kemeruapan ingatan berpanjangan dan asimetrik. Keputusan kajian menunjukkan bahawa model GARCH ingatan berpanjangan dan asimetrik dengan siri kejutan bertaburan student-t pencong mempunyai keupayaan peramalan kemeruapan pulangan indeks komposit yang lebih baik berbanding model yang lain.

Kata kunci: Kemeruapan, keserupaan sendiri, ingatan berpanjangan, kesan keumpilan terintegrasi separa

ABSTRACT

This paper analyzes the asymmetric long memory volatility dependency of the interday prices of Composite Index (CI) at Bursa Malaysia by using GARCH family models. The GARCH type models are used with the assumption that the innovations series follow either one of the following distributions: Gaussian, Student -t and skewed Student -t. The stock returns' long memory dependency is determined using the Hurst parameter. The long memory and asymmetric volatility are modelled by fractionally integrated GARCH models. It is found that the asymmetric and long memory GARCH models with skewed student-t distribution give better predictive ability on the volatility of the Kuala Lumpur Composite Index (KLCI).

Keywords: volatility, self-similar, long memory, leverage effect, fractional integration

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