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).
Item Details
| Item Type: | Book Section |
|---|---|
| Creators: | Creators Email / ID Num. A.Rahim, Hanafi UNSPECIFIED |
| Subjects: | L Education > LB Theory and practice of education > Higher Education > Dissertations, Academic. Preparation of theses > Malaysia |
| Divisions: | Universiti Teknologi MARA, Shah Alam > Institut Pengajian Siswazah (IPSis) : Institute of Graduate Studies (IGS) |
| Series Name: | IPSis Biannual Publication |
| Volume: | 2 |
| Keywords: | Abstract; Abstract of thesis; Newsletter; Research information; Doctoral graduates; IPSis; IGS; UiTM; GARCH Parameter |
| Date: | 2012 |
| URI: | https://ir.uitm.edu.my/id/eprint/19184 |
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