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...
Saved in:
Main Author: | |
---|---|
Format: | Thesis |
Language: | English |
Published: |
2012
|
Subjects: | |
Online Access: | https://ir.uitm.edu.my/id/eprint/39738/1/39738.pdf |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!