Forecasting currency in circulation in Malaysia using arch and garch models

Abdul Razak, Nur Azreen and Khamis, Azme and Abdullah, Mohd Asrul Affendi and Sufahani, Suliadi Firdaus (2018) Forecasting currency in circulation in Malaysia using arch and garch models. Current Journal of Applied Science and Technology, 27 (1). pp. 1-5. ISSN 2457-1024

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Abstract

The monthly economic time series commonly contains the volatility periods and it is suitable to apply the Heteroscedastic model to it where the conditional variance is not constant throughout the time trend. The aim of this study is to model and forecast the currency in circulation (CIC) in Malaysia over the time period, from January 1998 to January 2016. Two methods are considered, which are Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the Root Mean Square Error (RMSE) as the forecasting performance measure, this study concludes that GARCH is a more appropriate model compared to ARCH.

Item Type:	Article
Uncontrolled Keywords:	Forecasting; time series analysis; ARCH; GARCH; currency in circulation
Subjects:	T Technology > TA Engineering (General). Civil engineering (General) > TA177.4-185 Engineering economy
Divisions:	Faculty of Applied Science and Technology > Department of Mathematics and Statistics
Depositing User:	UiTM Student Praktikal
Date Deposited:	24 Jan 2022 08:49
Last Modified:	24 Jan 2022 08:49
URI:	http://eprints.uthm.edu.my/id/eprint/5913

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