GARCH Parameter estimation using least absolute median / Hanafi A.Rahim
The general autoregressive conditional heteroscedasticity, (GARCH) family has become more efficient in fitting financial data as it consists of the second order moment that measures the time-variant of the volatility data. However, GARCH may fail to fit some high frequency financial data with large...
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| Format: | Book Section |
| Language: | English |
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Institute of Graduate Studies, UiTM
2012
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| Online Access: | http://ir.uitm.edu.my/id/eprint/19184/1/ABS_HANAFI%20A.RAHIM%20TDRA%20VOL%202%20IGS%2012.pdf http://ir.uitm.edu.my/id/eprint/19184/ |
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