Multistep forecasting for highly volatile data using new algorithm of Box-Jenkins and GARCH

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Multistep forecasting for highly volatile data using new algorithm of Box-Jenkins and GARCH

The study of the multistep ahead forecast is significant for practical application purposes using the proposed statistical model. This study is proposing a new algorithm of Box-Jenkins and GARCH (or BJ-G) in evaluating the multistep forecasting performance of the BJ-G model for highly volatile time...

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Bibliographic Details
Main Authors:	Siti Roslindar, Yaziz, Roslinazairimah, Zakaria
Format:	Conference or Workshop Item
Language:	English
Published:	2018
Subjects:	QA Mathematics T Technology (General)
Online Access:	http://umpir.ump.edu.my/id/eprint/24110/ http://umpir.ump.edu.my/id/eprint/24110/1/50.1%20Multistep%20forecasting%20for%20highly%20volatile%20data.pdf

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