A large number of cyber attacks are commonly conducted against home computers, mobile devices, as well servers providing various services. One such prominently attacked service, or a protocol in this case, is the Secure Shell (SSH) used to gain remote access manage systems. Besides human attackers, botnets major source on SSH servers. Tools honeypots allow an effective means recording and analy...

This paper outlines the practical steps which need to be undertaken to use autoregressive integrated moving average (ARIMA) time series models for forecasting Irish inflation. A framework for ARIMA forecasting is drawn up. It considers two alternative approaches to the issue of identifying ARIMA models the Box Jenkins approach and the objective penalty function methods. The emphasis is on forec...

Network traffic prediction plays a vital role in the optimal resource allocation and management in computer networks. This paper introduces an ARIMA based model for the real time prediction of VBR video traffic. The methodology presented here can successfully addresses the challenges in traffic prediction such as accuracy in prediction, resource management and utilization. ARIMA application on ...

Statistical evidence suggests that the autocorrelation function of a compressed-video sequence is better captured by (k) = e ? p k than by (k) = k ? = e ? log k (long-range dependence) or (k) = e ?k (Markovian). A video model with such a correlation structure is introduced based on the so-called M=G=1 input processes. Though not Markovian, the model exhibits short-range dependence. Using the qu...

We are interested in estimation of stationary GARCH models. In simulation studies, we assess the performance of the maximum likelihood estimator and Yule-Walker estimator of the GARCH (1, 1) model. Finally we attempt to fit the dynamics of daily stock returns on Nordea by a GARCH model.

GARCH model has gained popularity during the last two decades, because of their ability to capture non-linear dynamics in the real life data which we often observe especially in financial markets. This paper discuss four common information criteria (AIC, AICc, BIC and HQ) and their ability of correct selection in the presence of GARCH effect, based on their probability of correct selection as a...

In Duan, Gauthier and Simonato (1999), an analytical approximate formula for European options in the GARCH framework was developed. The formula is however restricted to the nonlinear asymmetric GARCH model. This paper extends the same approach to two other important GARCH specifications GJR-GARCH and EGARCH. We provide the corresponding formulas and study their numerical performance. keywords: ...

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-DechertScheinkman (BDS) test stat...

In this paper, we take the advantage of high frequency data to develop option pricing model and select the Realized GARCH model to describe the volatility of assets, use NIG distribution to describe the distribution of underlying assets, and also build the Realized-GARCH-NIG model to price the option. Finally, we obtain the dynamic option pricing model based on the Realized-GARCH-NIG approach. ...

In this article, we forecast crude oil and natural gas spot prices at a daily frequency based on two classification techniques: artificial neural networks (ANN) and support vector machines (SVM). As a benchmark, we utilize an autoregressive integrated moving average (ARIMA) specification. We evaluate outof-sample forecast based on encompassing tests and mean-squared prediction error (MSPE). We ...