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Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH)

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Main Authors: Mohd Hirzie, Mohd Rodzhan, Nurul Asyikin, Zamrus, Nurul Najihah, Mohamad
Other Authors: mohdhirzie@iium.edu.my
Format: Article
Language:English
Published: Institute of Engineering Mathematics, Universiti Malaysia Perlis 2023
Subjects:
Time series
Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
Air Pollution Index
Integer-Value
Online Access:http://dspace.unimap.edu.my:80/xmlui/handle/123456789/77663
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spelling my.unimap-776632023-01-12T04:10:13Z Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH) Mohd Hirzie, Mohd Rodzhan Nurul Asyikin, Zamrus Nurul Najihah, Mohamad Mohd Hirzie, Mohd Rodzhan mohdhirzie@iium.edu.my Department of Computational and Theoretical Sciences, Kulliyyah of Science, International Islamic University Malaysia (IIUM) Time series Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Air Pollution Index Integer-Value Link to publisher's homepage at https://amci.unimap.edu.my/ The Air Pollution Index (API) of Malaysia has increased consistently in recent decades, becoming a serious environmental issue concern. In this paper, the daily integer value time series data for API in Penang and Sarawak from January to June in 2019 using generalized autoregressive conditional heteroskedasticity (GARCH) family for discrete case namely Poisson integer value GARCH (INGARCH), negative binomial integer value GARCH (NBINGARCH) and integer value autoregressive conditional heteroskedasticity (INARCH) models are analysed. The parameters of the models will be estimated using quasi likelihood estimator (QLE) and compared their Akaike information criterion (AIC) to determine the best model fitted the data. The results showed that INGARCH (1,1) model will be the best model because it has the small value of AIC. Hence, the findings are very important for controlling the API results in the future and taking protective measures for the conservation of the air. 2023-01-12T04:10:13Z 2023-01-12T04:10:13Z 2022-12 Article Applied Mathematics and Computational Intelligence (AMCI), vol.11(1), 2022, pages 104-113 2289-1315 (print) 2289-1323 (online) http://dspace.unimap.edu.my:80/xmlui/handle/123456789/77663 https://amci.unimap.edu.my/ en Institute of Engineering Mathematics, Universiti Malaysia Perlis
institution Universiti Malaysia Perlis
building UniMAP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Perlis
content_source UniMAP Library Digital Repository
url_provider http://dspace.unimap.edu.my/
language English
topic Time series
Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
Air Pollution Index
Integer-Value
spellingShingle Time series
Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
Air Pollution Index
Integer-Value
Mohd Hirzie, Mohd Rodzhan
Nurul Asyikin, Zamrus
Nurul Najihah, Mohamad
Mohd Hirzie, Mohd Rodzhan
Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH)
description Link to publisher's homepage at https://amci.unimap.edu.my/
author2 mohdhirzie@iium.edu.my
author_facet mohdhirzie@iium.edu.my
Mohd Hirzie, Mohd Rodzhan
Nurul Asyikin, Zamrus
Nurul Najihah, Mohamad
Mohd Hirzie, Mohd Rodzhan
format Article
author Mohd Hirzie, Mohd Rodzhan
Nurul Asyikin, Zamrus
Nurul Najihah, Mohamad
Mohd Hirzie, Mohd Rodzhan
author_sort Mohd Hirzie, Mohd Rodzhan
title Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH)
title_short Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH)
title_full Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH)
title_fullStr Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH)
title_full_unstemmed Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH)
title_sort comparing model of air pollution index using generalized autoregressive conditional heteroskedasticity family (garch)
publisher Institute of Engineering Mathematics, Universiti Malaysia Perlis
publishDate 2023
url http://dspace.unimap.edu.my:80/xmlui/handle/123456789/77663
_version_ 1772813095196950528
score 13.214268

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