Improving Forecasts of Generalized Autoregressive Conditional Heteroskedasticity with Wavelet Transform
نویسندگان
چکیده
منابع مشابه
Improving Forecasts of Generalized Autoregressive Conditional Heteroskedasticity with Wavelet Transform
In the study, we discussed the generalized autoregressive conditional heteroskedasticity model and enhanced it with wavelet transform to evaluate the daily returns for 1/4/2002-30/12/2011 period in Brent oil market. We proposed discrete wavelet transform generalized autoregressive conditional heteroskedasticity model to increase the forecasting performance of the generalized autoregressive cond...
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ژورنال
عنوان ژورنال: Research Journal of Applied Sciences, Engineering and Technology
سال: 2013
ISSN: 2040-7459,2040-7467
DOI: 10.19026/rjaset.5.5003