Garch parameter estimation using least absolute median

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