Sains Malaysiana 41(10)(2012): 1287–1299

Asymmetry Dynamic Volatility Forecast Evaluations using Interday and Intraday Data

(Penilaian Peramalan Kemeruapan Dinamik Asimetri dengan Data Antara dan Dalaman Harian)

Chin Wen Cheong* & Ng Sew Lai

Research Centre of Mathematical Science, Multimedia University,

63100 Cyberjaya, Selangor, Malaysia

Zaidi Isa

Pusat Pengajian Sains Matematik, Fakulti Sains dan Teknologi

Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia

Abu Hassan Shaari Mohd Nor

Fakulti Pengurusan Perniagaaan, Universiti Kebangsaan Malaysia

43600 UKM Bangi, Selangor, Malaysia

Diserahkan: 27 Oktober 2011 / Diterima: 22 Mei 2012

ABSTRACT

The accuracy of financial time series forecasts often rely on the model precision and the availability of actual observations for forecast evaluations. This study aimed to tackle these issues in order to obtain a suitable asymmetric time-varying volatility model that outperformed in the forecast evaluations based on interday and intraday data. The model precision was examined based on the most appropriate time-varying volatility representation under the autoregressive conditional heteroscedascity framework. For forecast precision, the evaluations were conducted under three loss functions using the volatility proxies and realized volatility. The empirical studies were implemented on two major financial markets and the estimated results are applied in quantifying their market risks. Empirical results indicated that Zakoian model provided the best in-sample forecasts whereas DGE on the other hand indicated better out-of-sample forecasts. For the type of volatility proxy selection, the implementation of intraday data in the latent volatility indicated significant improvement in all the time horizon forecasts.

Keyword: ARCH model; dynamic volatility; market risk; realized volatility

ABSTRAK

Ketepatan ramalan siri masa kewangan sering bergantung kepada ketepatan dan kewujudan cerapan sebenar dalam penilaian ramalan. Kajian ini bertujuan menangani isu-isu tersebut untuk mendapat model kemeruapan berubah masa asimetri yang dapat memberi prestasi yang baik berdasarkan data antara dan dalaman harian. Ketepatan model diperiksa berdasarkan pewakilan kemeruapan berubah masa paling sesuai dengan rangka kerja autoregresi heteroskedastisiti bersyarat. Untuk ketepatan peramalan, penilaian peramalan dijalankan berdasarkan tiga fungsi kerugian dengan proksi kemeruapan dan kemeruapan realisasi. Kajian empirik dilaksanakan pada dua pasaran saham utama dan keputusan penganggaran digunakan dalam mengkuantitikan risiko pasaran masing-masing. Keputusan empirik menunjukkan model asimetri Zakoian memberi keputusan penilaian peramalan dalam sampel yang terbaik manakala model DGE pula menandakan peramalan luar sampel yang paling tepat. Untuk pemilihan proksi kemeruapan, penggunaan data dalaman harian sebagai kemeruapan sebenar menunjukkan pembaikan yang signifikan dalam peramalan semua ufuk masa.

Kata kunci: Kemeruapan dinamik; kemeruapan realisasi; model ARCH; risiko pasaran

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*Pengarang untuk surat-menyurat; email: wcchin@mmu.edu.my