Evaluation of Forecasts Performance of ARIMA-GARCH-type Models in the Light of Outliers
ABSTRACT The carry-over effect of biased estimates of ARIMA-GARCH-type models parameters on forecasting accuracy is investigated in the presence of ...
Tag: GARCH model
Robust Estimation of GARCH Model to Appraise Excess Kurtosis
ABSTRACT This paper modeled Nigeria exchange rate using the GARCH model with three distributions, the normal distribution, student-t distribution and ...
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