GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models

GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models

Numerous variants of the basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been proposed to provide good volatility estimating and forecasting. Most of the study does not work Excel’s Solver to estimate GARCH-type models. The first purpose of this study is to provid...

Full description

Bibliographic Details
Main Authors: Didit Budi Nugroho, Lam Peter Panjaitan, Dini Kurniawati, Zaini Kholil, Bambang Susanto, Leopoldus Ricky Sasongko
Format: Article
Language:English
Published: Universitas Muhammadiyah Mataram 2022-04-01
Series:JTAM (Jurnal Teori dan Aplikasi Matematika)
Subjects:
arwm
excel’s solver
garch
grg non-linear
student-t
Online Access:http://journal.ummat.ac.id/index.php/jtam/article/view/7694

Internet

http://journal.ummat.ac.id/index.php/jtam/article/view/7694

Similar Items