|
|
| Volume 5, No. 1,
April 2006 |
|
|
Beating the Random Walk:
Intraday Seasonality and Volatility in a Developing Stock Market |
|
|
| Kim-Leng
Goh |
|
|
Faculty of Economics and
Administration, University of Malaya, Malaysia |
| Kim-Lian
Kok |
|
|
Taylor's Business School, Malaysia |
|
|
| Abstract |
|
|
|
|
Historical prices information has not
been exhaustively exploited in forecasting the 10-minute-ahead
Composite Index of the Malaysian stock market. A simple model
incorporating intraday seasonality can have lower forecast errors
than a random walk. Improved accuracy is achieved when time-varying
volatility is included in the time-of-day seasonal model for both
in-sample and out-of-sample forecasts. The updating of parameter
estimates of these volatility models at each new forecast origin to
incorporate the latest available information leads to further
improvement in forecast performance. |
|
|
|
Key words:
calendar
effects; forecast; ARCH models; random walk |
| JEL
classification:
C53; G14 |
|
|
Back |