Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price
The hybrid 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 the hybrid Box-Jenkins - GARCH is proposed for practical application in analysing and forecasting highe...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
2017
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/20583/ http://umpir.ump.edu.my/id/eprint/20583/1/36.%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20A%20Case%20Study%20on%20Gold%20Price.pdf http://umpir.ump.edu.my/id/eprint/20583/3/36.1%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20-%20A%20Case%20Study%20on%20Gold%20Price.pdf |