- All Journals
- Al-Qadisiyah University
- Basrah University
- Kirkuk University
- Mosul University
- The Iraqi Borad for Medical Specialization
- University of Anbar
- University of Technology
- Al Mustafa University
- Al-Zahraa University for Women
- Alnoor University
- Kunooz University
- Misan University
- Ninevah University
- Tikrit University
- University of Al-Hamdaniya
- University of Kerbala
A Study On Stability Of Conditional Variances For GARCH Models With Application | ||
| Tikrit Journal of Pure Science | ||
| Article 1, Volume 21, Issue 4, 2016, Pages 160-169 | ||
| Authors | ||
| Azher Abbas Mohammad; Mayadah Khalil Ghaffar | ||
| Abstract | ||
| In this paper we study the stability conditions of GARCH models and we find these conditions by using a local linearization technique. In addition we study the stability of conditional variances predictions where these predictions converge to an unconditional variance of the model after finite number of prediction steps. We apply this study to a time series represent the monthly mean temperature in Mosul city for years 1978-2011 and we find that ARCH (1) model is the fit model for prediction. | ||
|
Statistics Article View: 99 PDF Download: 77 |
||