GARCH Parameter estimation using least absolute median / Hanafi A.Rahim

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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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Bibliographic Details
Main Author:	A.Rahim, Hanafi
Format:	Book Section
Language:	English
Published:	Institute of Graduate Studies, UiTM 2012
Subjects:	Malaysia
Online Access:	https://ir.uitm.edu.my/id/eprint/19184/

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