ARIMA-GARCH
Hybrid of ARIMA-GARCH modeling in rainfall time series
... preliminary ARIMA models derived from the daily rainfall time series were tested for ARCH ...that GARCH modeling is necessary. Therefore the composite ARIMA-GARCH model captures the dynamics ...
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Modelling and forecasting exchange rate of US dollar against Malaysian ringgit using hybrid ARIMA-GARCH and ARIMA-EGARCH models
... Daily data of U.S. Dollar exchange rate against Malaysia exchange rate (USD/MYR) from 1 st November 2010 until 30 th August 2016 were used in the current study. For time series models, hybridization between Box-Jenkins ...
27
A Multiplicative Seasonal ARIMA/GARCH Model in EVN Traffic Prediction
... seasonal ARIMA model to represent the mean component using the past values of traffic, then incorporate a GARCH model to represent its ...seasonal ARIMA/GARCH model, i.e. ARIMA (1, 0, ...
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Modelling of crude oil prices using hybrid arima-garch model
... Eventhough ARIMA is a popular method for forecasting, it is not able to handle volatile ...the ARIMA model, it will be hybridized with GARCH ...are GARCH and hybrid ARIMA-GARCH ...
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Application of Iterative Approaches in Modeling the Efficiency of ARIMA GARCH Processes in the Presence of Outliers
... of ARIMA-GARCH-type models in the presence of outliers using the daily closing share price returns series of four prominent banks in Nigeria (Skye (Polaris) bank, Sterling bank, Unity bank and Zenith bank) ...
21
The Comparison among ARIMA and hybrid ARIMA-GARCH Models in Forecasting the Exchange Rate of Iran
... the ARIMA model and hybrid ARMA-GARCH Models by using daily data of the Iran’s exchange rate against the ...appropriate ARIMA model was obtained and for capturing volatilities of returns series, some ...
20
Modelling and Forecasting Tourist Arrivals to Cambodia: An Application of ARIMA-GARCH Approach
... International tourist arrivals are the crucial source of revenue for many developed and developing countries. Therefore, to predict its trend is ideal and to manage international tourism growth is essential and ...
19
Modelling and Forecasting Tourist Arrivals to Cambodia: An Application of ARIMA GARCH Approach
... models in line with statistical inferences. It is knowingly separated by two main categories that so-called in sample and out of sample forecasting or say ex-post and ex- ante forecasting. Good performance in ...
20
Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie
... erreur GARCH, notée ARIMA-GARCH ; cette classe inclut une tendance stochastique, la dépendance à court terme ainsi que le terme d’erreur hétéroscédastique à mémoire ...modèle ...
16
Predicting CPI in Panama
... This study uses annual time series data on CPI in Panama from 1960 to 2017, to model and forecast CPI using the Box – Jenkins ARIMA technique. Diagnostic tests indicate that the P series is I (1). The study ...
11
Modeling and forecasting inflation in Tanzania using ARIMA models
... the ARIMA framework was engaged to investigate annual inflation rates in Tanzania over the study ...The ARIMA (1, 1, 2) model is not only stable but also the most suitable model to forecast inflation for ...
12
Understanding CPI dynamics in Canada
... using GARCH models with a data set ranging over the period July 2009 to July 2018 and established that there is evidence of volatility persistence for Zimbabwe ’ s monthly inflation ...using ARIMA and ...
11
Understanding inflation trends in Israel: A univariate approach
... This paper uses annual time series data on inflation in Israel from 1960 to 2017, to model and forecast inflation using the Box – Jenkins ARIMA technique. Diagnostic tests indicate that Q is I (1). The study ...
14
Time series modeling and forecasting of the consumer price index in Belgium
... the ARIMA was engaged to investigate annual CPI of Belgium from 1960 to ...The ARIMA (0, 2, 1) model, as indicated by the AIC statistic; is not only stable but also the most suitable model to forecast the ...
11
Application of Arima and Garch models in forecasting crude oil prices
... One of the model that has gained enormous popularity in many areas and forecasting research practice is Box-Jenkins method. Thus, the purpose of this study is to forecast crude oil prices using Box-Jenkins method. ...
25
Adaptive ARIMA Model based on Lazy Learning Algorithm for Short Period Electric Load Forecasting
... This paper proposes a novel method of adaptive ARIMA compared with conventional adaptive ARIMA. The experimental results show the advanced performance of proposed method. Because there is little fluctuation ...
5
Filtered Extreme Value Theory for Value At Risk Estimation
... of GARCH, GARCH with student-t distribution, GARCH with skewed student-t distribution and FIGARCH by using alternative back-testing algorithms, namely, Kupiec test (1995), Christoffersen test (1998), ...
12
Modeling Stock Market Volatility Using Univariate GARCH Models: Evidence from Bangladesh
... while GARCH(1,1) model and EGARCH(1,1) model for Chittagong Stock ...and GARCH(1,1) models reveal that the stock market of Bangladesh captures volatility ...and GARCH coefficients reveals that the ...
16
Conditional Correlations and Volatility Links Among Gold, Oil and Istanbul Stock Exchange Sector Returns
... The sum of α and β coefficients are close to unity, indicating high degree of volatility persistence in the time series. The M-GARCH model assumes a diagonal matrix of time-varying volatilities. Since the ...
13
Are GARCH Specifications Superior Among GARCH Types of Models in Estimating Financial Volatility?: An Experiment [Ankur Srivastava, Dr. Prasant Sarangi]
... twenty GARCH types of models, GARCH specifications, more particularly GARCH (1,1) specification is measured to be better than the advanced EGARCH and GJR- GARCH ...
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