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Financial time series modelling has been studied extensively in the literature.In this book, the GARCH family with ARMA conditional mean model was considered incorporating exogenous variables in the variance model. The procedures how to build the model and method of parameter estimation was discussed in detail. Order selection criteria and test of hypothesis about the parameters in the model are also given.GARCH model was proposed and compared with EGARCH model. Forecast accuracy measures and the method of financial time series modelling has been illustrated with help of data over the study period. …mehr

Produktbeschreibung
Financial time series modelling has been studied extensively in the literature.In this book, the GARCH family with ARMA conditional mean model was considered incorporating exogenous variables in the variance model. The procedures how to build the model and method of parameter estimation was discussed in detail. Order selection criteria and test of hypothesis about the parameters in the model are also given.GARCH model was proposed and compared with EGARCH model. Forecast accuracy measures and the method of financial time series modelling has been illustrated with help of data over the study period.
Autorenporträt
Belay Belete Anjullo(M.Sc.), Ayele Taye(Ph.D.)Belay Belete Anjullo(M.Sc), the author of this book, obtained his first and M.Sc. degree in Statistics in July 2007 and in July 2011 from Hawassa University,respectively. He thought various statistical courses in the previous 4 years. He Published this book while he is working in Arba Minch University