Intraday volatility and periodicity in the Malaysian stock returns

Mohd Nizal Haniff, Wee Ching Pok

    Research output: Contribution to journalArticlepeer-review

    17 Citations (Scopus)


    Many empirical studies using high-frequency intraday data from a variety of markets indicate that PGARCH models give superior return volatility forecasts than those produced from standard GARCH models. This paper investigates into modelling approaches of four versions of PGARCH models of high-frequency data of Bursa Malaysia, in particular where the intraday volatility of double U-shaped pattern. It is examined through half-hourly dummy variables, quarterly-hourly dummy variables, Fourier Functional Form (FFF) based variables and spline-based variables. The non-periodic GARCH models, i.e., GARCH, EGARCH and TARCH are used for comparison of performance of best fit. The analysis show that among the four versions of PGARCH models, the half-dummy and the spline-based versions perform the best. EGARCH produced consistently superior results to other GARCH specifications.

    Original languageEnglish
    Pages (from-to)329-343
    Number of pages15
    JournalResearch in International Business and Finance
    Issue number3
    Publication statusPublished - Sept 2010


    • Intraday
    • Malaysia
    • Modeling
    • Periodic GARCH models
    • Volatility


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