GARCH Parameter Estimation Using Least Absolute Median / Hanafi A. Rahim
The general autoregressive conditional heteroscedasticity, (GARCH) family has become more efficient in fitting financial data as it consists of the second order moment that measures the time-variant of the volatility data. However, GARCH may fail to fit some high frequency financial data with large...
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| Format: | Thesis |
| Language: | en |
| Published: |
2012
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| Online Access: | https://ir.uitm.edu.my/id/eprint/39738/1/39738.pdf https://ir.uitm.edu.my/id/eprint/39738/ |
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