VOLATILITY FORECASTING FOR MSCI INDEX OF EMERGING MARKET IN SOUTHEAST ASIA BY GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY MODEL

  • นันท์นภัส อาทิตยรัตน์สกุล
  • ภูมิฐาน รังคกูลนุวัฒน์
Keywords: prediction, Generalized Autoregressive Conditional Heteroskedasticity, MSCI

Abstract

In this paper examines the prediction of MSCI index volatility in South East Asia. By using Generalized Autoregressive Conditional Heteroskedasticity Model. The data using in this study consists of Thailand, Malaysia Indonesia and Philippine MSCI index which collects daily from the first of January 2013 until the end of December, 2017 for total 1,214 days. It could be said that the reasonable model of this study which have minimum of AIC index is MSCI Thailand. By the model is GARCH(1,1)for MSCI Thailand or GARCH(1,1)for MSCI Philippines and GARCH(1,1)for MSCI Indonesia and GARCH(1,1) for MSCI Malaysia.

Published
2018-09-01
Section
Engineering and Technology Articles

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