Predictability Of The Klci Price Movement: Evidence From The Time Series Models

Venus, Khim-Sen Liew and Lim, Kian-Ping and Lai, Chong-Yee (2004) Predictability Of The Klci Price Movement: Evidence From The Time Series Models. INTI Journal, 1 (4). pp. 239-248. ISSN 2600-7320

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Official URL: http://intijournal.newinti.edu.my/

Abstract

This study utilises autoregressive integrated moving average (ARIMA) time series models to predict the price movement of the Kuala Lumpur Composite Index (KLCI). ARIMAARCH models, which are ARIMA time series models with GARCH errors (relaxing the normality assumption), are also considered. All fitted models excluding those that exhibit nonstationary autoregressive roots are utilised to generate out-of-sample forecast over the forecast horizons of 1 day, 1 week, 1 month, 3 months, 6 months, 9 months and 1 year.

Item Type: Article
Uncontrolled Keywords: Time series models, Kuala Lumpur Composite Index (KLCI), autoregressive integrated, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, , research, Universiti Malaysia Sarawak.
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Gani
Date Deposited: 08 May 2020 00:51
Last Modified: 01 Jun 2021 12:56
URI: http://ir.unimas.my/id/eprint/29608

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