Performance analysis of GARCH family models in three time-frames

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Performance analysis of GARCH family models in three time-frames

The proposed alternative p-value method can be used in finding the best performing models. The rank of the p-values namely t-test and z-test statistics can overcome the constraint imposed when using the Mean Absolute Percentage Error as the measurement error. It is crucial to select the right model...

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Bibliographic Details
Main Authors:	Md. Jamal Hossain, Akter, Sadia, Mohd Tahir Ismail
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2021
Online Access:	http://journalarticle.ukm.my/18785/ http://journalarticle.ukm.my/18785/1/jeko_552-2-2.pdf

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