Comparing vector autoregressive (VAR) estimation with combine white noise (CWN) estimation

• Main Authors: Agboluaje, Ayodele Abraham, Ismail, Suzilah, Chee, Yin Yip
• Format: Article
• Language: English
• Published: MAXWELL Science Publication 2016
• Subjects: QA Mathematics
• Online Access: http://repo.uum.edu.my/21522/1/RJASET%2012%205%202016%20544%20549.pdf; http://repo.uum.edu.my/21522/; http://doi.org/10.19026/rjaset.12.2682
• Institution: Universiti Utara Malaysia

The purpose of this study is to compare one of the existing models, which is VAR model with the new Combine White Noise model. The VAR models have not been able to model the conditional heteroscedasticity and the leverage effect exhibited by the data. Likewise, GARCH family models cannot model lever...