Modeling the Error Term by Moving Average and Generalized Autoregressive Conditional Heteroscedasticity Processes

This study has been able to reveal that the Combine White Noise model outperforms the existing Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Moving Average (MA) models in modeling the errors, that exhibits conditional heteroscedasticity and leverage effect. MA process cannot...

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محفوظ في:

التفاصيل البيبلوغرافية
المؤلفون الرئيسيون:	Agboluaje, Ayodele Abraham, Ismail, Suzilah, Chee Yin, Yip
التنسيق:	مقال
اللغة:	English
منشور في:	Science Publications 2015
الموضوعات:	QA Mathematics
الوصول للمادة أونلاين:	https://repo.uum.edu.my/id/eprint/30981/1/AJAS%2012%2011%202015%20896-901.pdf https://doi.org/10.3844/ajassp.2015.896.901 https://repo.uum.edu.my/id/eprint/30981/ https://thescipub.com/abstract/10.3844/ajassp.2015.896.901 https://doi.org/10.3844/ajassp.2015.896.901
الوسوم:	إضافة وسم لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!

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