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Financial time series modelling has been studied extensively in the literature.In this book, the GARCH family with ARMA conditional mean model was considered incorporating exogenous variables in the variance model. The procedures how to build the model and method of parameter estimation was discussed in detail. Order selection criteria and test of hypothesis about the parameters in the model are also given.GARCH model was proposed and compared with EGARCH model. Forecast accuracy measures and the method of financial time series modelling has been illustrated with help of data over the study period.
| Autorius: | Belay Belete Anjullo, Ayele Taye, |
| Leidėjas: | LAP LAMBERT Academic Publishing |
| Išleidimo metai: | 2011 |
| Knygos puslapių skaičius: | 128 |
| ISBN-10: | 3847302809 |
| ISBN-13: | 9783847302803 |
| Formatas: | 220 x 150 x 8 mm. Knyga minkštu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „The Determinants of Domestic Price Volatility for Cereals in Ethiopia: Basic procedures in GARCH family model building, Mean equation specification, Test for ARCH effect,EGARCH model building“
