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http://umt-ir.umt.edu.my:8080/handle/123456789/2410Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Hanafi A. Rahim | - |
| dc.date.accessioned | 2013-03-18T03:20:10Z | - |
| dc.date.available | 2013-03-18T03:20:10Z | - |
| dc.date.issued | 2012-09 | - |
| dc.identifier.uri | http://dspace.psnz.umt.edu.my/xmlui/handle/123456789/2410 | - |
| dc.description.abstract | The general autoregressive conditional heteroscedasticity, (GARCH) family has become more efficient in fitting financial data as it consists of the second order moment that measures the time-variant of the volatility data. However, GARCH may fail to fit some high frequency financial data with large jumps called outliers. In this research, GARCH parameters were estimated using least absolute median (LAM). | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | [Selangor]: Universiti Teknologi Mara | en_US |
| dc.subject | QA 276.8 .H3 2012 | en_US |
| dc.subject | Hanafi A. Rahim | en_US |
| dc.subject | Tesis Universiti Teknologi Mara 2012 | en_US |
| dc.subject | Parameter estimation | en_US |
| dc.title | Garch parameter estimation using least absolute median | en_US |
| dc.type | Thesis | en_US |
| Appears in Collections: | Staff Thesis | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| QA 276.8 .H3 2012 Abstract.pdf | 326.63 kB | Adobe PDF | View/Open | |
| QA 276.8 .H3 2012 FullText.pdf Restricted Access | 3.22 MB | Adobe PDF | View/Open Request a copy |
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