On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH

On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH

The main objective of this paper is to explore the varying volatility dynamic of inflation rate in Malaysia for the period from January 1980 to December 2004. The GARCH, GARCH-Mean, EGARCH and EGARCH-Mean models are used to capture the stochastic variation and asymmetries in the economic instruments...

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Main Authors: Abu Hassan Shaari Mohd Nor, Tan, Yan Ling, Fauziah Maarof
Format: Article
Language:English
Published: Universiti Kebangsaan Malaysia 2007
Online Access:http://journalarticle.ukm.my/101/
http://journalarticle.ukm.my/101/
http://journalarticle.ukm.my/101/1/1.pdf
id ukm-101
recordtype eprints
spelling ukm-1012016-12-14T06:26:24Z http://journalarticle.ukm.my/101/ On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH Abu Hassan Shaari Mohd Nor, Tan, Yan Ling, Fauziah Maarof, The main objective of this paper is to explore the varying volatility dynamic of inflation rate in Malaysia for the period from January 1980 to December 2004. The GARCH, GARCH-Mean, EGARCH and EGARCH-Mean models are used to capture the stochastic variation and asymmetries in the economic instruments. Results show that the EGARCH model gives better estimates of sub-periods volatility. Further analysis using Granger causality test shows that there is sufficient empirical evidence that higher inflation rate level will result in higher future inflation uncertainty and higher level of inflation uncertainty will lead to lower future inflation rate. Universiti Kebangsaan Malaysia 2007-12 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/101/1/1.pdf Abu Hassan Shaari Mohd Nor, and Tan, Yan Ling, and Fauziah Maarof, (2007) On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH. Sains Malaysiana, 36 (2). pp. 225-232. ISSN 0126-6039 Penerbit Universiti Kebangsaan Malaysia
repository_type Digital Repository
institution_category Local University
institution Universiti Kebangasaan Malaysia
building UKM Institutional Repository
collection Online Access
language English
description The main objective of this paper is to explore the varying volatility dynamic of inflation rate in Malaysia for the period from January 1980 to December 2004. The GARCH, GARCH-Mean, EGARCH and EGARCH-Mean models are used to capture the stochastic variation and asymmetries in the economic instruments. Results show that the EGARCH model gives better estimates of sub-periods volatility. Further analysis using Granger causality test shows that there is sufficient empirical evidence that higher inflation rate level will result in higher future inflation uncertainty and higher level of inflation uncertainty will lead to lower future inflation rate.
format Article
author Abu Hassan Shaari Mohd Nor,
Tan, Yan Ling,
Fauziah Maarof,
spellingShingle Abu Hassan Shaari Mohd Nor,
Tan, Yan Ling,
Fauziah Maarof,
On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH
author_facet Abu Hassan Shaari Mohd Nor,
Tan, Yan Ling,
Fauziah Maarof,
author_sort Abu Hassan Shaari Mohd Nor,
title On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH
title_short On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH
title_full On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH
title_fullStr On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH
title_full_unstemmed On the relationship between inflation rate and inflation uncertainty : an application of the GARCH family models = Hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga GARCH
title_sort on the relationship between inflation rate and inflation uncertainty : an application of the garch family models = hubungan antara kadar inflasi dan kemeruapan inflasi : satu aplikasi model keluarga garch
publisher Universiti Kebangsaan Malaysia
publishDate 2007
url http://journalarticle.ukm.my/101/
http://journalarticle.ukm.my/101/
http://journalarticle.ukm.my/101/1/1.pdf
first_indexed 2023-09-18T19:00:59Z
last_indexed 2023-09-18T19:00:59Z
_version_ 1777403071681265664

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