Measuring and forecasting Malaysian composite index volatility under the impact of Asian financial crisis — a revisit

Abstract

This study revisited the impact of Asian Financial crisis to the Malaysian stock market. A generalized Tse’s model is used to depict various empirical stylized facts that occurred in the pre-and post-crisis periods. By utilizing the intraday volatility as the ex post of actual volatility, various forecasts horizons one-day ahead volatility are evaluated under six loss functions and regression analysis. It is found that the pre-crisis exhibited deeper impact of leverage effect, however less persistence volatility than the post-crisis period. The empirical results also shown that the asymmetric long memory model provided superior performance in the estimation as well as out-of-sample forecasts.