Modeling the error term of regression by combine white noise
This paper examines the utilization of combination model technique to model the standardized residual exponential generalized autoregressive conditional heteroscedastic (EGARCH) errors.The technique combine white noise (CWN) is found to be more efficient and overcome EGARCH weaknesses. The estimatio...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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2016
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/21534/1/IJARSE%205%2012%202016%2070%2063.pdf |
| _version_ | 1825804577597816832 |
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| author | Agboluaje, Ayodele Abraham Ismail, Suzilah Yin, Chee Yip |
| author_facet | Agboluaje, Ayodele Abraham Ismail, Suzilah Yin, Chee Yip |
| author_sort | Agboluaje, Ayodele Abraham |
| collection | UUM |
| description | This paper examines the utilization of combination model technique to model the standardized residual exponential generalized autoregressive conditional heteroscedastic (EGARCH) errors.The technique combine white noise (CWN) is found to be more efficient and overcome EGARCH weaknesses. The estimation results using Combine White Noise model satisfies stability condition and passes stationary, serial correlation, and the ARCH effect tests.It fails the histogram-Normality tests but passes the Levene’s test of equal variances. Combine White Noise has minimum values of information criteria. From the results of the dynamic evaluation forecast errors, Combine White
Noise has the minimum forecast errors which are indications of better results when compare with the EGARCH model dynamic evaluation forecast errors. Combine White Noise processes show the best fit with forecast accuracy. |
| first_indexed | 2024-07-04T06:17:49Z |
| format | Article |
| id | uum-21534 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:17:49Z |
| publishDate | 2016 |
| record_format | eprints |
| spelling | uum-215342017-04-06T04:38:25Z https://repo.uum.edu.my/id/eprint/21534/ Modeling the error term of regression by combine white noise Agboluaje, Ayodele Abraham Ismail, Suzilah Yin, Chee Yip QA75 Electronic computers. Computer science This paper examines the utilization of combination model technique to model the standardized residual exponential generalized autoregressive conditional heteroscedastic (EGARCH) errors.The technique combine white noise (CWN) is found to be more efficient and overcome EGARCH weaknesses. The estimation results using Combine White Noise model satisfies stability condition and passes stationary, serial correlation, and the ARCH effect tests.It fails the histogram-Normality tests but passes the Levene’s test of equal variances. Combine White Noise has minimum values of information criteria. From the results of the dynamic evaluation forecast errors, Combine White Noise has the minimum forecast errors which are indications of better results when compare with the EGARCH model dynamic evaluation forecast errors. Combine White Noise processes show the best fit with forecast accuracy. 2016 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/21534/1/IJARSE%205%2012%202016%2070%2063.pdf Agboluaje, Ayodele Abraham and Ismail, Suzilah and Yin, Chee Yip (2016) Modeling the error term of regression by combine white noise. International Journal of Advance Research in Science and Engineering, 5 (12). pp. 63-70. ISSN 2319-8346 https://www.ijarse.com/images/fullpdf/1480581618_1317.pdf |
| spellingShingle | QA75 Electronic computers. Computer science Agboluaje, Ayodele Abraham Ismail, Suzilah Yin, Chee Yip Modeling the error term of regression by combine white noise |
| title | Modeling the error term of regression by combine white noise |
| title_full | Modeling the error term of regression by combine white noise |
| title_fullStr | Modeling the error term of regression by combine white noise |
| title_full_unstemmed | Modeling the error term of regression by combine white noise |
| title_short | Modeling the error term of regression by combine white noise |
| title_sort | modeling the error term of regression by combine white noise |
| topic | QA75 Electronic computers. Computer science |
| url | https://repo.uum.edu.my/id/eprint/21534/1/IJARSE%205%2012%202016%2070%2063.pdf |
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