Multistep forecasting for highly volatile data using new algorithm of Box-Jenkins and GARCH

The study of the multistep ahead forecast is significant for practical application purposes using the proposed statistical model. This study is proposing a new algorithm of Box-Jenkins and GARCH (or BJ-G) in evaluating the multistep forecasting performance of the BJ-G model for highly volatile time...

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Bibliographic Details
Main Authors: Siti Roslindar, Yaziz, Roslinazairimah, Zakaria
Format: Conference or Workshop Item
Language:English
Published: 2018
Subjects:
Online Access:http://umpir.ump.edu.my/id/eprint/24110/1/50.1%20Multistep%20forecasting%20for%20highly%20volatile%20data.pdf
http://umpir.ump.edu.my/id/eprint/24110/
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Institution: Universiti Malaysia Pahang
Language: English