Modeling of Returns Volatility using GARCH(1,1) Model under Tukey Transformations

This study proposed two new classes of GARCH(1,1) model by applying the Tukeytransformations to the returns and to the lagged variance. The behavior of return volatility was investigated on the basis of models with normal and Student-t distributions for return error. The competing models were estima...

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Bibliographic Details
Main Authors: Didit Budi Nugroho, Bambang Susanto, Kezia Natalia Putri Prasetia, Rebecca Rorimpandey
Format: Article
Language:Indonesian
Published: Petra Christian University 2019-05-01
Series:Jurnal Akuntansi dan Keuangan
Subjects:
Online Access:http://jurnalakuntansi.petra.ac.id/index.php/aku/article/view/21359

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