Nonlinear Smooth Transition Autoregressive (STAR)–type modelling and forecasting on Malaysia Airlines (MAS) stock returns

• Main Authors: Mohd. Nor, Siti Rohani, Yusof, Fadhilah, Kane, Ibrahim Lawal
• Format: Article
• Language: English
• Published: Penerbit UTM Press 2015
• Subjects: QA Mathematics
• Online Access: http://eprints.utm.my/id/eprint/56159/1/FadhilahYusof2015_NonlinearSmoothTransitionAutoregressive%28STAR%29Type.pdf; http://eprints.utm.my/id/eprint/56159/; http://dx.doi.org/10.11113/jt.v74.4883
• Institution: Universiti Teknologi Malaysia

This study aims to apply nonlinear Smooth Transition Autoregressive (STAR)-type model to the Malaysia Airlines (MAS) Stock Returns, which consists of 4450 number of observations. The data taken started from 29th August 1996 until 26th September 2014. Following the STAR strategies by Terasvirta, the...