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文章基本信息

  • 标题:Evaluation of GARCH model Adequacy in forecasting Non-linear economic time series data
  • 本地全文:下载
  • 作者:M.O. Akintunde ; P.M. Kgosi ; D.K. Shangodoyin
  • 期刊名称:Journal of Computations & Modelling
  • 印刷版ISSN:1792-7625
  • 电子版ISSN:1792-8850
  • 出版年度:2013
  • 卷号:3
  • 期号:2
  • 出版社:Scienpress Ltd
  • 摘要:

    To date in literature, GARCH model has been described not suitable for non-linear foreign exchange series and therefore this paper proposes an Augmented GARCH model that could capture both linear and non-linear behavior of data. The properties of this new model is derived and found to have a minimum variance compared with GARCH model. We employ the use of Brock-Dechert-Scheinkman (BDS) test statistic to confirm the suitability of GARCH model on the data; the new methodology proposed is illustrated with foreign exchange rate data from Great Britain (Pound) and Botswana (Pula) against United States of America (Dollar).

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