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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| Main Authors: | , , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
Science Publications
2015
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| 主題: | |
| 在線閱讀: | 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 |
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