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.
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).
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Metadata
| Item Type: | Book Section | ||||
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| Creators: |
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| 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 | ||||
| URI: | http://ir.uitm.edu.my/id/eprint/19184 |
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