Validation of combine white noise using simulated data
Recent studies reveal that the data that exhibits heteroscedasticity are modelled by Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH).Nevertheless, EGARCH model estimation is not efficient when the heteroscedasticity data have leverage effect.In this study, an algorithm i...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Research India Publications
2016
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/21530/1/IJAER%2011%2020%202016%2010125%2010130.pdf |