Assoc. Prof. Dr. Mohd Tahir Ismail
Associate Professor
School of Mathematical Sciences
Universiti Sains Malaysia
ahmadsalihin@ump.edu.my

NO	NAME	INSTITUTION	FACULTY/SCHOOL/ CENTRE/UNIT
1	Assoc. Prof. Dr. Sek Siok Kun	USM	School of Mathematical Sciences
2	Dr. Ida Normaya Mohd Nasir	UiTM	Faculty of Computer and Mathematical Sciences

2 years (15 August 2017 – 14 August 2019)

GARCH model is often preferred and widely used by financial modeling professionals to predict the volatility movement of financial instruments. Despite the widespread use of GARCH, the estimation and the accuracy of the model are often distorted by the presence of outliers and structural changes in the data series. To overcome this issue, we proposed the indicator saturation approach to jointly detect outliers and structural changes in the context of volatility data. This study uses the super-indicator saturation (SIS) approach on both simulation and empirical data. The SIS-GARCH approach is applied to the stock market return, where the impact of outliers and structural breaks are assessed in comparison between the Shariahcompliant and conventional indices. The study shows that SIS-GARCH provides better estimation of GARCH.

1. To incorporate automatic general-to-specific model selection approach in indicator saturation for GARCH (1,1) to detect outliers and structural breaks
2. To assess the performance of the proposed procedure using Monte Carlo method
3. To compare the performance of the proposed procedure in detecting structural breaks, using the Bai & Perron (1998, 2003) test
4. To compare the performance of the proposed procedure in detecting outliers using the Laurent et al. (2013) test
5. To provide a model that can be applied to Malaysia Shariah-compliant Indices.

1. Talent:
   • 1 PHD
     1. Ida Normaya Binti Mohd Nasir (Graduated)
2. Publication:
   

   Target	Current
   5	8

   
   
   1. Article in Indexed Journals
      • Malaysian Tapis: A Closer Look into Additive Outliers and Persistence Volatility (2018) – SCOPUS
      • Detection of Outliers in the Volatility of Malaysia Shariah Compliant Index Return: The Impulse Indicator Saturation Approach (2020) – SCOPUS
      • Outliers in Islamic and Conventional Stock Indices: An Empirical Analysis Using Impulse Saturation Indicator (2019) – SCOPUS
      • Outliers and Structural Breaks Detection in Volatility Data: A Simulation Study using Step Indicator Saturation (2020)
      • Outlier Detection in Local Level Model: Impulse Indicator Saturation Approach (2019) – SCOPUS
      • Indicator Saturation in Autoregressive Model using gets in R: A Computational Simulation and Empirical Evidence in Shariah Compliant Index (2020) – SCOPUS
   2. Conference Proceedings
      • Structural Breaks and Outliers in ASEAN Shariah Compliant Indices: The Impulse Indicator Saturation Approach (2018) – SCOPUS
      • Structural Breaks in Malaysian Shariah Compliant Indices (2019)

• 5th International Conference on Fundamental & Applied Sciences (ICFAS2018) – Special Awards
• 3rd International Conference on Computing, Mathematics and Statistics 2017 (iCMS2017) – Special Awards
• International Industrial Revolution 4.0 Exposition (iREX) (2019) – Silver Medal

This study will serve as a reference work of future prediction and estimations of GARCH. It will give the impact on the number of publications and open collaboration with the University of Oxford. This result of the study will also improve the prediction accuracy in Malaysia Shariah-compliant indices.