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Predicting Malaysia Business Cycle using Wavelet Analysis

ABDUL KARIM, SAMSUL ARIFFIN and ABDUL KARIM, BAKRI and HASAN, M KHATIM and SULAIMAN, JUMAT and Razali, Radzuan (2011) Predicting Malaysia Business Cycle using Wavelet Analysis. IEEE SYMPOSIUM ON BUSINESS, ENGINEERING AND INDUSTRIAL APPLICATIONS (ISBEIA), .

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Abstract

Wavelet transforms are capable to decompose time series at various level which corresponds to the resolution of the decomposition. We can find the trend, cycle, noise, structural break etc. This is where wavelets are so efficient in studying characteristics of the any time series. In this present article, we study the use of wavelet (symlet 16) to detect the business cycle in Malaysia. Firstly we decompose the time series then we study the long-run trend and we filtered the high frequency components and finally we find the business cycle in Malaysia. The results indicated the existence of business cycles for GDP data in Malaysia which is strongly counter-cyclical.

Item Type:Book
Subjects:Q Science > QA Mathematics
Departments / MOR / COE:Mission Oriented Research > Energy
ID Code:7058
Deposited By: Samsul Ariffin Abdul Karim
Deposited On:08 Dec 2011 01:55
Last Modified:19 Jan 2017 08:22

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