Comparing vector autoregressive (VAR) estimation with combine white noise (CWN) estimation
The purpose of this study is to compare one of the existing models, which is VAR model with the new Combine White Noise model. The VAR models have not been able to model the conditional heteroscedasticity and the leverage effect exhibited by the data. Likewise, GARCH family models cannot model lever...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MAXWELL Science Publication
2016
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/21522/1/RJASET%2012%205%202016%20544%20549.pdf |