The Determinants of Domestic Price Volatility for Cereals in Ethiopia: Basic procedures in GARCH family model building, Mean equation specification, Test for ARCH effect,EGARCH model building

 
9783847302803: The Determinants of Domestic Price Volatility for Cereals in Ethiopia: Basic procedures in GARCH family model building, Mean equation specification, Test for ARCH effect,EGARCH model building

Financial time series modelling has been studied extensively in the literature.In this book, the GARCH family with ARMA conditional mean model was considered incorporating exogenous variables in the variance model. The procedures how to build the model and method of parameter estimation was discussed in detail. Order selection criteria and test of hypothesis about the parameters in the model are also given.GARCH model was proposed and compared with EGARCH model. Forecast accuracy measures and the method of financial time series modelling has been illustrated with help of data over the study period.

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About the Author:

Belay Belete Anjullo(M.Sc.), Ayele Taye(Ph.D.)Belay Belete Anjullo(M.Sc), the author of this book, obtained his first and M.Sc. degree in Statistics in July 2007 and in July 2011 from Hawassa University,respectively. He thought various statistical courses in the previous 4 years. He Published this book while he is working in Arba Minch University

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Book Description Book Condition: New. Publisher/Verlag: LAP Lambert Academic Publishing | Basic procedures in GARCH family model building, Mean equation specification, Test for ARCH effect,EGARCH model building | Financial time series modelling has been studied extensively in the literature.In this book, the GARCH family with ARMA conditional mean model was considered incorporating exogenous variables in the variance model. The procedures how to build the model and method of parameter estimation was discussed in detail. Order selection criteria and test of hypothesis about the parameters in the model are also given.GARCH model was proposed and compared with EGARCH model. Forecast accuracy measures and the method of financial time series modelling has been illustrated with help of data over the study period. | Format: Paperback | Language/Sprache: english | 128 pp. Bookseller Inventory # K9783847302803

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Book Description LAP Lambert Academic Publishing, Germany, 2011. Paperback. Book Condition: New. Aufl.. Language: English . Brand New Book. Financial time series modelling has been studied extensively in the literature.In this book, the GARCH family with ARMA conditional mean model was considered incorporating exogenous variables in the variance model. The procedures how to build the model and method of parameter estimation was discussed in detail. Order selection criteria and test of hypothesis about the parameters in the model are also given.GARCH model was proposed and compared with EGARCH model. Forecast accuracy measures and the method of financial time series modelling has been illustrated with help of data over the study period. Bookseller Inventory # KNV9783847302803

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Book Description LAP Lambert Academic Publishing. Paperback. Book Condition: New. Paperback. 128 pages. Dimensions: 8.7in. x 5.9in. x 0.3in.Financial time series modelling has been studied extensively in the literature. In this book, the GARCH family with ARMA conditional mean model was considered incorporating exogenous variables in the variance model. The procedures how to build the model and method of parameter estimation was discussed in detail. Order selection criteria and test of hypothesis about the parameters in the model are also given. GARCH model was proposed and compared with EGARCH model. Forecast accuracy measures and the method of financial time series modelling has been illustrated with help of data over the study period. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Bookseller Inventory # 9783847302803

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