Publication:
A Non-linear Stochastic Consols Yield Model Of Malaysia

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dc.contributor.authorNur Syahirah Abd Munilen_US
dc.contributor.authorNorizarina Ishaken_US
dc.contributor.authorAhmad Fadly Nurullah Rasadeeen_US
dc.contributor.authorAbu Bakar Hasanen_US
dc.date.accessioned2024-05-27T14:47:06Z
dc.date.available2024-05-27T14:47:06Z
dc.date.issued2019
dc.date.submitted21/2/2020
dc.descriptionASM Sci. J., Special Issue 6, 2019 for SKSM26, 9-14en_US
dc.description.abstractThis study examines the non-linear stochastic Consols yield model for Malaysia inspired by Whitten and Thomas model in year 1999. Whitten and Thomas model consist six subs-models which are price inflation model, wage inflation model, share dividends, share yields, Consols yield and base rate. We only considered the Consols yield model in this study. Aim of this study is to apply the Consols yield inspired Whitten and Thomas model to Malaysian data by using Threshold Autoregressive (TAR) method for data estimation. From that, we able to determine the most suitable model for Consols yield in Malaysia. Hence, we compare our model with the inspired Wilkie model for Malaysia developed by Ishak (2015). The data that we used in this study is a 10-Year Malaysian Government Securities (MGS) yield. The data is based on monthly data from year 2006-2016. Descriptive statistics is used to test the statistical behavior of the data. This study shows a positive kurtosis and skewness which indicates that the distribution has heavier tail than the normal distribution. This study also shows that there is threshold effect on Malaysian Consols yield which is below 3.71% and the most suitable TAR model for Malaysian Consols yield is TAR (3). Keywords: Whitten and Thomas model; consols yield; mgs yield; threshold autoregressive (tar)en_US
dc.identifier.epage14
dc.identifier.issn1823-6782
dc.identifier.issnhttps://www.akademisains.gov.my/asmsj/article/a-non-linear-stochastic-consols-yield-model-of-malaysia/
dc.identifier.issue6
dc.identifier.other2023-13
dc.identifier.spage9
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/3766
dc.identifier.volume12
dc.language.isoenen_US
dc.publisherThe Academy of Sciences Malaysiaen_US
dc.relation.ispartofASM Science Journalen_US
dc.subjectWhitten and Thomas model;en_US
dc.subjectconsols yield;en_US
dc.subjectmgs yield;en_US
dc.subjectthreshold autoregressive (tar)en_US
dc.titleA Non-linear Stochastic Consols Yield Model Of Malaysiaen_US
dc.typeArticleen_US
dspace.entity.typePublication

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