Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price
The model of Box-Jenkins - GARCH has been shown to be a promising tool for forecasting higher volatile time series. In this study, the framework of determining the optimal sample size using Box-Jenkins model with GARCH is proposed for practical application in analysing and forecasting higher volatil...
| Main Authors: | , , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
IOP Publishing
2017
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/17406/ http://umpir.ump.edu.my/id/eprint/17406/ http://umpir.ump.edu.my/id/eprint/17406/ http://umpir.ump.edu.my/id/eprint/17406/1/Determination%20of%20sample%20size%20for%20higher%20volatile%20data%20using%20new%20framework%20of%20Box-Jenkins%20model%20with%20GARCH-%20A%20case%20study%20on%20gold%20price.pdf |
Internet
http://umpir.ump.edu.my/id/eprint/17406/http://umpir.ump.edu.my/id/eprint/17406/
http://umpir.ump.edu.my/id/eprint/17406/
http://umpir.ump.edu.my/id/eprint/17406/1/Determination%20of%20sample%20size%20for%20higher%20volatile%20data%20using%20new%20framework%20of%20Box-Jenkins%20model%20with%20GARCH-%20A%20case%20study%20on%20gold%20price.pdf