Maximum likelihood estimation with dynamic measurement errors and application to interest rate modeling

Stochastic volatility (SV) model is widely applied in the extension of the constant volatility in Black-Scholes option pricing.In this paper, we extend the SV model driven by fractional Brownian motion (FBM). A crucial problem in its application is how the unknown parameters in the model are to be estimated. We propose the innovation algorithm, and follow by the maximum likelihood estimation approach, which enables us to derive the estimators of parameters involved in this model.We will also present the simulation outcomes to illustrate the efficiency and reliability of the proposed method

Surveying the best volatility measurements to forecast stock market

This paper investigates methods to forecast future adjusted price of S&P 500 by using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) for better investment decision. Four types of formulas are used to find the appropriate volatility measurement that may provide forecast value which closely resembling to actual movement of stock price. The evaluation of forecasting methods is computed by the mean absolute percentage error (MAPE).The findings showed high accuracy in all forecasting methods, with all MAPE are less than 10%, with the best forecasting method is GFBM with stochastic volatility which follow fractional Ornstein – Uhlenbeck (FOU) process

Assessment of Job Satisfaction among Malaysian Employees: A Structural Equation Modelling Approach

Job satisfaction is the primary concern and serious challenge faced in the era of pandemic and digitalization, in particular when involved with the changes of working arrangement mode, forced by these two events. The aim of this study is to identify the effect of flexible working arrangement and work life balance on employee’s job satisfaction by utilizing the structural equation model that may detect the causal relationship between the observed items under study. The results suggest that flexible hours, work shifts and telecommuting/working from home has a significant effect on employee’s job satisfaction. This study has successfully constructed the structured models for job satisfaction after some modification on the observed items under stud

Crime index trends and patterns in Kelantan

Crimes are a social nuisance and has become major anxiousness to the society where it involves the safety of the people in a country. This paper provides crime index overview in Kelantan from 2017 to 2019 that consists of both violent crimes and property crimes. The violent crimes involve murder, rape, robbery and voluntarily injury cases. Meanwhile, property crimes include house break-in theft, vehicles theft and other theft (pickpocketing, snatch theft and etc.). The purpose of this paper is to study the relationship between age, gender, ethnic and district with the crime index. In addition, the objective is to identify and get better understanding of the most common crime index and also to identify which area has the highest crime index in Kelantan. A total of 5,569 cases were reported within this three-year period and the data were collected from Kelantan Contingent Police Headquarters. The descriptive analysis, spearman’ rho correlation and multiple regression analysis were performed, and the findings were then illustrated via graphs and tables. The major results have shown that Kota Bharu has the highest crime index and age, gender and district has significant relationship with crime inde

Job satisfaction among employees in a manufacturing company in North Malaysia

Job satisfaction is among the stringent challenge faced by managers, in particular to manage employees.Previous studies have demonstrated unusually large impact on job satisfaction especially on the motivation of workers.As the level of motivation has an impact on productivity, it will affect the performance of business organizations.Thus, the goal of this study is to determine the significance difference in job satisfaction between male and female, single and married, ages and experiences in group of respondents by using the independent t-test and ANOVA. The result showed that there is a significance difference between male and female worker, and between single and married workers.The finding shows significance different when ages of groups of respondent were considered and no significance different in a group of worker that is based on experience.This article aims to provide medium among employers and employees to find common ground for the satisfaction level to ensure a harmony environment of working

An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model

The paper selects the daily trading data of three stocks in the agricultural sector of the Chinese stock market from 1st September 2015 to 31st August 2021. It uses the DCC-GARCH model to study the correlation between these stocks to examine the volatility and conductivity of their risks. The results show that the correlation between the Shanghai Composite Index and stocks of agriculture of China exhibits time-varying characteristics and dynamic. The fluctuations in correlation are large. This study fills the blank of comparative study on risk volatility and correlation between different stocks in the same stock market by using DCC-GARCH mode

Structural Equation Model on Factors Affecting Students Satisfaction towards University Library: A Case Study

Library in the university is known as the centre of knowledge. University library offers learning support, research requirement and also teaching materials. The objective of this study is to identify the most (and least) factors that contribute to students satisfaction towards university library. A case study on selected respondents consist of 266 undergraduate students was conducted. Their opinion on the library services has been recorded. Questionnaires were distributed to the respondents. Structural Equation Model was developed to display their responses. The finding concluded that online services and collections have significant relationship with the overall satisfaction towards the library, whereas facilities and library staffs do not have significant contribution to the satisfaction. As a suggestion, the library management should improve their service quality by upgrading the online services such as wireless access, library website service,  and online book renewal process to mentioned a few, which might be effective in improving the students’ satisfaction towards the library

Constructing STEM 3R Activity through Service-Learning Program during Movement Restriction

Service-learning is an experiential learning activity that enables mobility from classes in higher learning institutions to be transferred into the community. In this article, we construct a STEM 3R activity that is aligned with school children's curricula to be delivered in an engaging, active, and personalized way. The activity is constructed by using the ExDiDD (Explore, Discover, Develop, Deliver) framework, and is being assessed through dedicated rubrics. Findings suggest improved excitement and interest in STEM education, as well as increase understanding of the environmental issues throughout the activit

Discussions on continuous stochastic volatility models

Stochastic volatility (SV) models are substantial for financial markets and decision making because they can capture the effect of time varying volatility. There are two ways to describe SV; in discrete time setting and continuous time setting. Since the intuitive setting for market trading is normally continuous, it is natural to focus on studying a continuous time setting in a financial environment. In this paper, we review and discuss the most important financial models of continuous stochastic volatility via highlight the advantages and the disadvantages of each one

Hermite-Hadamard and Simpson’s type of inequalities for first and second ordered derivatives using product of (h1, h2, s)-convex and m-convex function

This article is dedicated to find the extensions for Hermite-Hadamard (H-H) and Simpson’s type of inequalities. By combining multiple existing convex functions by placing specific restrictions on them is the most effective in many approaches to find a new convex function. Here, to find the new function (h1, h2, s)-Convex and m-Convex Function are used. Because of the product of two or even more convex functions does not necessarily have to be convex, we decided to investigate merging distinct convex functions. Combining more than two convex functions in a novel adaptive way advances to new applications in a range of disciplines, including mathematics and other fields. In this paper, some extensions for Hermite-Hadamard and Simpson’s inequalities is explored. The newly constructed extensions of these inequalities will be considered as the improvements and refinements of previously obtained result