Garch parameter estimation using least absolute median
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:
| 主要作者: | |
|---|---|
| 格式: | Thesis |
| 語言: | English |
| 主題: | |
| 在線閱讀: | http://umt-ir.umt.edu.my:8080/jspui/bitstream/123456789/2410/1/QA%20276.8%20.H3%202012%20Abstract.pdf http://umt-ir.umt.edu.my:8080/jspui/bitstream/123456789/2410/2/QA%20276.8%20.H3%202012%20FullText.pdf |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| id |
my-umt-ir.-2410 |
|---|---|
| record_format |
uketd_dc |
| spelling |
my-umt-ir.-24102013-03-18T03:20:10Z 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 jumps called outliers. In this research, GARCH parameters were estimated using least absolute median (LAM). [Selangor]: Universiti Teknologi Mara 2012-09 Thesis en http://dspace.psnz.umt.edu.my/xmlui/handle/123456789/2410 http://umt-ir.umt.edu.my:8080/jspui/bitstream/123456789/2410/1/QA%20276.8%20.H3%202012%20Abstract.pdf 00b44dd8e1d346ec3a36f0ecfe3f714b http://umt-ir.umt.edu.my:8080/jspui/bitstream/123456789/2410/2/QA%20276.8%20.H3%202012%20FullText.pdf 0f9e5e2b8ed369ea3cbb65450182e6b8 http://umt-ir.umt.edu.my:8080/jspui/bitstream/123456789/2410/3/license.txt 8a4605be74aa9ea9d79846c1fba20a33 QA 276.8 .H3 2012 Hanafi A. Rahim Tesis Universiti Teknologi Mara 2012 Parameter estimation |
| institution |
Universiti Malaysia Terengganu |
| collection |
UMT Repository System |
| language |
English |
| topic |
QA 276.8 .H3 2012 QA 276.8 .H3 2012 Tesis Universiti Teknologi Mara 2012 Parameter estimation |
| spellingShingle |
QA 276.8 .H3 2012 QA 276.8 .H3 2012 Tesis Universiti Teknologi Mara 2012 Parameter estimation Hanafi A. Rahim Garch parameter estimation using least absolute median |
| description |
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 jumps called outliers. In this research, GARCH parameters were estimated using least absolute median (LAM). |
| format |
Thesis |
| author |
Hanafi A. Rahim |
| author_facet |
Hanafi A. Rahim |
| author_sort |
Hanafi A. Rahim |
| title |
Garch parameter estimation using least absolute median |
| title_short |
Garch parameter estimation using least absolute median |
| title_full |
Garch parameter estimation using least absolute median |
| title_fullStr |
Garch parameter estimation using least absolute median |
| title_full_unstemmed |
Garch parameter estimation using least absolute median |
| title_sort |
garch parameter estimation using least absolute median |
| granting_institution |
[Selangor]: Universiti Teknologi Mara |
| url |
http://umt-ir.umt.edu.my:8080/jspui/bitstream/123456789/2410/1/QA%20276.8%20.H3%202012%20Abstract.pdf http://umt-ir.umt.edu.my:8080/jspui/bitstream/123456789/2410/2/QA%20276.8%20.H3%202012%20FullText.pdf |
| _version_ |
1747835789532725248 |