GARCH models and distributions comparison for nonlinear time series with volatilities

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GARCH models and distributions comparison for nonlinear time series with volatilities

The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is extensively used for handling volatilities. However, with numerous extensions to the standard GARCH model, selecting the most suitable model for forecasting price volatilities becomes challenging. This study aims to exam...

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Bibliographic Details
Main Authors:	Nur Haizum, Abd Rahman, Jia, Goh Hui, Hani Syahida, Zulkafli
Format:	Article
Language:	English
Published:	UTM Press 2023
Subjects:	QA Mathematics
Online Access:	http://umpir.ump.edu.my/id/eprint/42168/ http://umpir.ump.edu.my/id/eprint/42168/1/2023%20GARCH%20Modelsand%20DistributionsComparison%20for%20Nonlinear%20Time%20Series%20with%20Volatilities.pdf

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