Modelling and forecasting exchange rate of US dollar against Malaysian ringgit using hybrid ARIMA-GARCH and ARIMA-EGARCH models

• 第一著者: Mustafa, Asma’
• フォーマット: 学位論文
• 言語: English
• 出版事項: 2017
• 主題: QA Mathematics
• オンライン･アクセス: http://eprints.utm.my/id/eprint/78489/1/AsmaMustafaMFS2017.pdf; http://eprints.utm.my/id/eprint/78489/; http://dms.library.utm.my:8080/vital/access/manager/Repository/vital:109757

Modelling and forecasting financial time series data has become the area of interest in financial world. However, the data exhibits certain stylized facts that must be handled by an appropriate models. Thus, this study was conducted to develop hybridization models between Autoregressive Integrated M...