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...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Muhammadiyah Mataram
2022-04-01
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| Series: | JTAM (Jurnal Teori dan Aplikasi Matematika) |
| Subjects: | |
| Online Access: | http://journal.ummat.ac.id/index.php/jtam/article/view/7694 |