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...

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Main Author:	Hanafi A. Rahim
Format:	Thesis
Language:	English
Subjects:	QA 276.8 .H3 2012 Tesis Universiti Teknologi Mara 2012 Parameter estimation
Online Access:	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
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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

Garch parameter estimation using least absolute median

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