Multistep forecasting for highly volatile data using a new box-Jenkins and GARCH procedure

The study of the multistep ahead forecast is significant for practical application purposes using the proposed statistical model. This study proposes a new procedure of Box-Jenkins and GARCH (or BJG) in evaluating the multistep forecasting performance for a highly volatile time series data. The prom...

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Bibliographic Details

Main Authors:	Siti Roslindar, Yaziz, Roslinazairimah, Zakaria, Boland, John
Format:	Article
Language:	en
Published:	Akademi Sains Malaysia 2020
Subjects:	HG Finance QA Mathematics
Online Access:	https://umpir.ump.edu.my/id/eprint/46122/1/Multistep%20forecasting%20for%20highly%20volatile%20data.pdf https://doi.org/10.32802/asmscj.2020.sm26(1.14) https://umpir.ump.edu.my/id/eprint/46122/
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