المقارنة بين انموذجي BEKK و DVECH من نماذج GARCH متعدد المتغيرات مع تطبيق عملي
Other Title(s)
The comparison between the BEKK and DVECH models of multivariate GARCH models with practical application
Joint Authors
فارس طاهر حسن
لمياء طه عبد الله
Source
مجلة العلوم الاقتصادية و الإدارية
Issue
Vol. 24, Issue 102 (28 Feb. 2018), pp.364-392, 29 p.
Publisher
University of Baghdad College of Administration and Economics
Publication Date
2018-02-28
Country of Publication
Iraq
No. of Pages
29
Main Subjects
Business Administration
Mathematics
Topics
Abstract EN
The Purpose of this research is a comparison between two types of multivariate GARCH models BEKK and DVECH to forecast using financial time series which are the series of daily Iraqi dinar exchange rate with dollar, the global daily of Oil price with dollar and the global daily of gold price with dollar for the period from 01/01/2014 till 01/01/2016.The estimation, testing and forecasting process has been computed through the program RATS.
Three time series have been transferred to the three asset returns to get the Stationarity, some tests were conducted including Ljung- Box, Multivariate Q and Multivariate ARCH to Returns Series and Residuals Series for both models with comparison between the estimation and forecasting models based on the criterion, mean Squared error (MSE), compared to the Suitability of these two models of the nature of the data and the ability to Capture the volatility.
We concluded that BEKK is better than DVECH in forecasting from the model.
American Psychological Association (APA)
فارس طاهر حسن ولمياء طه عبد الله. 2018. المقارنة بين انموذجي BEKK و DVECH من نماذج GARCH متعدد المتغيرات مع تطبيق عملي. مجلة العلوم الاقتصادية و الإدارية،مج. 24، ع. 102، ص ص. 364-392.
https://search.emarefa.net/detail/BIM-833763
Modern Language Association (MLA)
فارس طاهر حسن ولمياء طه عبد الله. المقارنة بين انموذجي BEKK و DVECH من نماذج GARCH متعدد المتغيرات مع تطبيق عملي. مجلة العلوم الاقتصادية و الإدارية مج. 24، ع. 102 (2018)، ص ص. 364-392.
https://search.emarefa.net/detail/BIM-833763
American Medical Association (AMA)
فارس طاهر حسن ولمياء طه عبد الله. المقارنة بين انموذجي BEKK و DVECH من نماذج GARCH متعدد المتغيرات مع تطبيق عملي. مجلة العلوم الاقتصادية و الإدارية. 2018. مج. 24، ع. 102، ص ص. 364-392.
https://search.emarefa.net/detail/BIM-833763
Data Type
Journal Articles
Language
Arabic
Notes
يتضمن مراجع ببليوجرافية : ص. 391
Record ID
BIM-833763