تقدير معلمات أنموذج Garch لتوزيع القاطع الزائدي مع التطبيق
Other Title(s)
Estimation of the parameters of the GARCH model of the hyperboloid distribution with application
Joint Authors
علي ياسين غني
علي، حسين مجيد عبد
Source
Issue
Vol. 2020, Issue 123 (31 Mar. 2020), pp.422-433, 12 p.
Publisher
Mustansiriyah University College of Management and Economic
Publication Date
2020-03-31
Country of Publication
Iraq
No. of Pages
12
Main Subjects
Business Administration
Economy and Commerce
Topics
Abstract EN
The study of AutoRegressive Conditional Heteroscedasticity modelsof the important studies in time series, especially financial ones, becausemost of the financial time series have high Volatility that is, theconditional variance in them is not fixed and depends on the past, thatmost of the previous studies rely on some distributions such as normaldistribution GED distribution and t distribution.
In this paper, a new distribution of the GARCH model, which ishyperbolic- secant distribution, is presented in theory and practice.
Asample representing the opening price of the Brent oil was found and thedata test showed that it follows the hyperbolic secant distribution.
Aftertesting it was found to be a problem for ARCH.
After estimating it wasfound that the best model to represent this data according to the best testcriteria is AIC, SIC, H-Q, GARCH (1, 1).
Key Words: ARCH, Brent Oil Prices, Hyperbolic Secant Distribution, Model selection
American Psychological Association (APA)
علي، حسين مجيد عبد وعلي ياسين غني. 2020. تقدير معلمات أنموذج Garch لتوزيع القاطع الزائدي مع التطبيق. مجلة الإدارة و الاقتصاد،مج. 2020، ع. 123، ص ص. 422-433.
https://search.emarefa.net/detail/BIM-1090882
Modern Language Association (MLA)
علي، حسين مجيد عبد وعلي ياسين غني. تقدير معلمات أنموذج Garch لتوزيع القاطع الزائدي مع التطبيق. مجلة الإدارة و الاقتصاد ع. 123 (آذار 2020)، ص ص. 422-433.
https://search.emarefa.net/detail/BIM-1090882
American Medical Association (AMA)
علي، حسين مجيد عبد وعلي ياسين غني. تقدير معلمات أنموذج Garch لتوزيع القاطع الزائدي مع التطبيق. مجلة الإدارة و الاقتصاد. 2020. مج. 2020، ع. 123، ص ص. 422-433.
https://search.emarefa.net/detail/BIM-1090882
Data Type
Journal Articles
Language
Arabic
Notes
-
Record ID
BIM-1090882