Generalized autoregressive conditional heteroskedastic model to examine silver price volatility and its macroeconomic determinant in Ethiopia market

DOI10.1155/2020/5095181MaRDI QIDQ2193447zbMATH OpenOpenAlexFDO

Authors Amare Wubishet Ayele, Emmanuel Gabreyohannes, Hayimro Edmealem

Publication date 18 August 2020

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/5095181

zbMATH Keywords

leptokurtic distributionautoregressive conditional heteroskedastic model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Analysis of Financial Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
• Generalized autoregressive conditional heteroscedasticity
• Testing for a unit root in time series regression

Cited in

(1)

• Modelling the glitter in gold

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Uses Software

• FinTS

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