Garch parameter estimation using least absolute median

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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书目详细资料
主要作者:	Hanafi A. Rahim
格式:	Thesis
语言:	English
主题:	QA 276.8 .H3 2012 Tesis Universiti Teknologi Mara 2012 Parameter estimation
在线阅读:	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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