GARCH Parameter estimation using least absolute median / Hanafi A.Rahim

A.Rahim, Hanafi (2012) GARCH Parameter estimation using least absolute median / Hanafi A.Rahim. In: The Doctoral Research Abstracts. IPSis Biannual Publication, 2 . Institute of Graduate Studies, UiTM, Shah Alam.

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Abstract

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).

Item Type: Book Section
Creators:
CreatorsEmail
A.Rahim, HanafiUNSPECIFIED
Subjects: L Education > LB Theory and practice of education > Higher Education > Dissertations, Academic. Preparation of theses > Malaysia
Divisions: Institut Pengajian Siswazah (IPSis) : Institute of Graduate Studies (IGS)
Series Name: IPSis Biannual Publication
Volume: 2
Item ID: 19184
Uncontrolled Keywords: Abstract; Abstract of thesis; Newsletter; Research information; Doctoral graduates; IPSis; IGS; UiTM; GARCH Parameter
Last Modified: 12 Jun 2018 01:27
Depositing User: Staf Pendigitalan 2
URI: http://ir.uitm.edu.my/id/eprint/19184

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