Bootstrap percentile in GARCH models: Study case on volatility of Kuala Lumpur Shariah Index (KLSI)

2011 ◽  
Author(s):  
Nur Amanina Zawali ◽  
L. Muhamad Safiih ◽  
D.A.D Anthea
Keyword(s):  
Garch Models ◽  
Kuala Lumpur ◽  
Bootstrap Percentile ◽  
Study Case

scholarly journals Modelling volatility of Kuala Lumpur composite index (KLCI) using SV and garch models

2019 ◽  
Vol 13 (3) ◽  
pp. 1087
Author(s):  
Ezatul Akma Abdullah ◽  
Siti Meriam Zahari ◽  
S.Sarifah Radiah Shariff ◽  
Muhammad Asmu’i Abdul Rahim
Keyword(s):  
Stock Returns ◽  
Price Index ◽  
Financial Time Series ◽  
Composite Index ◽  
Garch Models ◽  
Financial Assets ◽  
Kuala Lumpur ◽  
Financial Decisions ◽  
Auto Regressive ◽  
Public Holidays

It is well-known that financial time series exhibits changing variance and this can have important consequences in formulating economic or financial decisions. In much recent evidence shows that volatility of financial assets is not constant, but rather that relatively volatile periods alternate with more tranquil ones. Thus, there are many opportunities to obtain forecasts of this time-varying risk. The paper presents the modelling volatility of the Kuala Lumpur Composite Index (KLCI) using SV and GARCH models.  Thus, the aim of this study is to model the KLCI stock market using two models; Stochastic Volatility (SV) and Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH). This study employs an SV model with Bayesian approach and Markov Chain Monte Carlo (MCMC) sampler; and GARCH model with MLE estimator. The best model will be used to forecast the future volatility of stock returns. The study involves 971 daily observations of KLCI Closing price index, from 2 January 2008 to 10 November 2016, excluding public holidays. SV model is found to be the best based on the lowest RMSE and MAE values.

Audit Committee Effectiveness Among Malaysian Listed Companies

2020 ◽  
Author(s):  
Shamsul Nahar Abdullah ◽  
Ku Nor Izah Ku Ismail
Keyword(s):  
Corporate Governance ◽  
Audit Committee ◽  
Stock Exchange ◽  
Listed Companies ◽  
The Other ◽  
Interactive Effects ◽  
Committee Chairman ◽  
Kuala Lumpur ◽  
Political Costs ◽  
Leadership Structure

This study investigates further the previous paper by Shamsul Nahar and Al-Murisi (1997) by examining the interactive effects of the variables in that paper and introducing other variables associated with corporate governance and political costs. The present study postulated that percentage of external directors on audit committee interacted with the presence of an accountant on audit committee and with the number of years an audit committee in existence, respectively, to influence audit committee effectiveness. The study also posited that the interaction of the presence of an accountant on audit committee and the number of years an audit committee in existence positively and significantly influenced audit committee effectiveness. Addition. ally, the roles of leadership structure, audit committee chairman, and a firm's size on audit committee effectiveness were also investigated. Using a multiple regression from a sample consisting the Kuala Lumpur Stock Exchange listed companies, results showed that only a firm's size significantly influenced audit committee effectiveness in the predicted direction. Other variables, on the other hand, did not show any significant influence on audit committee effectiveness.  

Jazz in Kuala Lumpur

2012 ◽  
Vol 4 (2) ◽  
Author(s):  
Gisa Jähnichen
Keyword(s):  
Kuala Lumpur
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