استعمال بعض طرائق بيز الحصين لتقدير انموذج GARCH (1,1)
Other Title(s)
Use of some hippocampal biz methods to estimate the GARCH model (1, 1)
Joint Authors
عنبر، جنان عبد الله
نزار مصطفى جواد
Source
Issue
Vol. 2020, Issue 125 (30 Sep. 2020), pp.187-205, 19 p.
Publisher
al-Mustansiriyah University College of Management and Economic
Publication Date
2020-09-30
Country of Publication
Iraq
No. of Pages
19
Main Subjects
Business Administration
Economy and Commerce
Topics
Abstract EN
In this paper, invulnerable Bayesian capabilities were found to estimate a model of self-regression models conditioned by heterogeneity of variance, which is the generalized GARCH (1.1) model when the distribution of errors follows the normal distribution through three invulnerable biometric methods for estimating which are the (Y ̂BM Bayes) method and the (BM) method.
Bayes Shrinkage and BM Bayes Shrinkage, which combines the Bayes method with three restrictive fortified methods, namely the BM.
Huber method, the two proposed methods (BM.
Hample) and (BM.
Tukey), and then apply what was mentioned in the theoretical side on a time series consisting of (1254) views of the daily selling prices of Basra oil for the period (2/1/2008 - 31/12/2012) through the application of the BM Bayes Shrinkage method, which was the best when applied to the estimated parameters values By means of (MLE) where it achieved the lowest value of the comparison standard (MSE).
American Psychological Association (APA)
نزار مصطفى جواد وعنبر، جنان عبد الله. 2020. استعمال بعض طرائق بيز الحصين لتقدير انموذج GARCH (1,1). مجلة الإدارة و الاقتصاد،مج. 2020، ع. 125، ص ص. 187-205.
https://search.emarefa.net/detail/BIM-1090515
Modern Language Association (MLA)
نزار مصطفى جواد وعنبر، جنان عبد الله. استعمال بعض طرائق بيز الحصين لتقدير انموذج GARCH (1,1). مجلة الإدارة و الاقتصاد ع. 125 (أيلول 2020)، ص ص. 187-205.
https://search.emarefa.net/detail/BIM-1090515
American Medical Association (AMA)
نزار مصطفى جواد وعنبر، جنان عبد الله. استعمال بعض طرائق بيز الحصين لتقدير انموذج GARCH (1,1). مجلة الإدارة و الاقتصاد. 2020. مج. 2020، ع. 125، ص ص. 187-205.
https://search.emarefa.net/detail/BIM-1090515
Data Type
Journal Articles
Language
Arabic
Notes
-
Record ID
BIM-1090515