Comparing model of Air Pollution Index using Generalized Autoregressive Conditional Heteroskedasticity Family (GARCH)
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Institute of Engineering Mathematics, Universiti Malaysia Perlis
2023
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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 |
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English |
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Time series Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Air Pollution Index Integer-Value |
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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) |
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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 |
13.250246 |