METODE ESTIMASI SECOND-ORDER LEAST SQUARE PADA MODEL AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC DAN TRANSFORMASINYA
Autoregressive Conditional Heteroskedasticity (ARCH) processes have been widely used to analysis of finance time series. Many finance time series exhibit periods of unusually large volatility followed by periods of relative tranquility. This suggests that the variance are serially correlated. Estima...
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| Aineistotyyppi: | Opinnäyte |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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