A comparison forecasting models for ASEAN equity markets

• Main Authors: Wong, Yoke Chen *, Kok, Kim Lian
• Format: Article
• Language: English
• Published: Sunway University College 2005
• Subjects: HF Commerce; HG Finance; QA Mathematics
• Online Access: http://eprints.sunway.edu.my/23/1/wong1.pdf; http://eprints.sunway.edu.my/23/
• Institution: Sunway University

This paper compares six models for forecasting the performance of the ASEAN equity markets of Malaysia, Singapore, Thailand, Indonesia and the Philippines before, during and after the Asian financial crisis. In the precrisis period, the OLS, ARCH-M and TARCH models have better forecasting performanc...