eprintid: 9595
rev_number: 2
eprint_status: archive
userid: 1
dir: disk0/00/00/95/95
datestamp: 2023-11-09 16:36:14
lastmod: 2023-11-09 16:36:14
status_changed: 2023-11-09 16:29:22
type: conference_item
metadata_visibility: show
creators_name: Mohd Nasir, I.N.
creators_name: Ismail, M.T.
creators_name: Abdul Karim, S.A.
title: Malaysian Tapis: A Closer Look into Additive Outliers and Persistence Volatility
ispublished: pub
keywords: Crude oil, Additive outliers; Based specification; Crude oil prices; Economic planning; Financial crisis; GARCH (1 ,1); Unexpected events; Volatility persistence, Statistics
note: cited By 1; Conference of 5th International Conference on Fundamental and Applied Sciences, ICFAS 2018 ; Conference Date: 13 August 2018 Through 15 August 2018; Conference Code:142772
abstract: As Malaysia is one of the countries, which relies on oil-related revenues for its economic planning, the modelling volatility in crude oil price may therefore have some implications for its policies which the present study intends to look into. Specifically, the main objective of the present study is to examine the impact of outliers, which are identified based on the method proposed by Doornik and Ooms (2005) on the volatility persistence of Malaysian Tapis. The outliers of Tapis have reportedly been associated with unexpected events such as wars, financial crises, etc. The salient findings of the present study revealed that: 1) Tapis may have relatively higher degree of volatility persistence 2) Outliers may potentially bias the estimation of GARCH (1,1) model and 3) Outliers may correct Student-t-based specifications and outperform the other models in capturing the volatility. It was on such findings; it can be recommended that outliers should be considered in improving the volatility modelling in Tapis oil markets. © Published under licence by IOP Publishing Ltd.
date: 2018
publisher: Institute of Physics Publishing
official_url: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058225018&doi=10.1088%2f1742-6596%2f1123%2f1%2f012041&partnerID=40&md5=31734664ceb225986bfa26aef5892589
id_number: 10.1088/1742-6596/1123/1/012041
full_text_status: none
publication: Journal of Physics: Conference Series
volume: 1123
number: 1
refereed: TRUE
issn: 17426588
citation:   Mohd Nasir, I.N. and Ismail, M.T. and Abdul Karim, S.A.  (2018) Malaysian Tapis: A Closer Look into Additive Outliers and Persistence Volatility.  In: UNSPECIFIED.