Modeling the asymmetric in conditional variance

• المؤلفون الرئيسيون: Agboluaje, Ayodele Abraham, Ismail, Suzilah, Yip, Chee Yin
• التنسيق: مقال
• اللغة: English
• منشور في: Science Alert 2016
• الموضوعات: QA Mathematics
• الوصول للمادة أونلاين: http://repo.uum.edu.my/21521/1/AJSR%20%209%202%20%202016%20%2039-44.pdf; http://repo.uum.edu.my/21521/; http://doi.org/10.3923/ajsr.2016.39.44
• المؤسسة: Universiti Utara Malaysia

The purpose of this study is to model the asymmetric in conditional variance of Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) with Combine White Noise (CWN) model to obtain suitable results. Combine white noise has the minimum information criteria and high log likel...