Analisis Volatilitas Harga Bawang Putih Di Kota Manado Menggunakan Model GARCH
نویسندگان
چکیده
منابع مشابه
Asymptotic Nonequivalence of GARCH Models and Di usions
This paper investigates the statistical relationship of the GARCH model and its di usion limit. Regarding the two types of models as two statistical experiments formed by discrete observations from the models, we study their asymptotic equivalence in terms of Le Cam's de ciency distance. To our surprise, we are able to show that the GARCH model and its di usion limit are asymptotically equivale...
متن کاملSemiparametric Multivariate GARCH Model∗
To capture the missed information in the standardized errors by parametric multivariate generalized autoregressive conditional heteroskedasticity (MV-GARCH) model, we propose a new semiparametric MV-GARCH (SM-GARCH) model. This SM-GARCH model is a twostep model: firstly estimating parametric MV-GARCH model, then using nonparametric skills to model the conditional covariance matrix of the standa...
متن کاملAnalisis Keamanan Protokol Secure Socket Layer (SSL) Terhadap Proses Sniffing di Jaringan
Development of information technology, especially in the field of computer network allows the exchange of information faster and more complex and the data that is exchanged can vary. Security of data on communication in the network is a major thing. Secure socket layer (SSL) is the solution to the problem, but further research on the security of the SSL protocol transactions should be done to d...
متن کاملA Multivariate Skew-garch Model
Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news. As a result, we assume that European stock market returns are affected by endogenous and exogenous ...
متن کاملA Semiparametric Intraday Garch Model
We propose a multiplicative component model for intraday volatility. The model consists of a seasonality factor, as well as a semiparametric and parametric component. The former captures the well-documented intraday seasonality of volatility, while the latter two account for the impact of the state of the limit order book, utilizing an additive structure, and fluctuations around this state by m...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: d'CARTESIAN
سال: 2020
ISSN: 2685-1083,2302-4224
DOI: 10.35799/dc.9.1.2020.27398