Comparative performance of ARIMA and GARCH Models in modelling and forecasting volatility of Malaysia market properties and shares

Miswan, Nor Hamizah and Hamzah, Khairum and Ngatiman, Nor Azazi and Zamzamir Zamzamin, Zaminor (2014) Comparative performance of ARIMA and GARCH Models in modelling and forecasting volatility of Malaysia market properties and shares. Applied Mathematical Sciences, 8 (140). pp. 7001-7012. ISSN 1312-885X

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Abstract

Market properties and shares are important in the field of finance in order to measure the economic growth of a country. These market properties are volatile time series as they have huge price swings in a shortage or an oversupply period. In this study, we use two time series models which are Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heterocedasticity (GARCH) models in modelling and forecasting Malaysia property market. The capabilities of ARIMA and GARCH models in modelling and forecasting Malaysia property market will be evaluated by using Akaike's Information Criterion (AIC), Mean Absolute Percentage Error (MAPE) and Root Mean Squared Error (RMSE). It can be concluded that Box-Jenkins ARIMA model perform better compared than GARCH model in modelling and forecasting Malaysia market properties and shares.

Item Type:	Article
Uncontrolled Keywords:	ARIMA, GARCH, property, share, volatilit
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Engineering Technology > Department of Mechanical Engineering Technology
Depositing User:	Nor Hamizah Miswan
Date Deposited:	21 Jan 2015 01:59
Last Modified:	28 May 2015 04:35
URI:	http://eprints.utem.edu.my/id/eprint/13950
Statistic Details:	View Download Statistic

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