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The Analysis of non Linear Time Series Model Of (GJR-GARCH (P,Q)) For lower rank . Iraq Stock Exchange (Case Study | ||
| magazine of college Administration&Economics for economic &administration & financial studies | ||
| Article 1, Volume 196, Issue 22, 2017, Pages 82-99 | ||
| Abstract | ||
| This research included analysis in true financial data to the daily closing prices for one of the index of (Iraq Stock Exchange), where the time series features has unstable situation in the mean and the variance , and because of volatility in the price of the closes prices which necessitated to study it according to the non-liner models, and it has been analyzes according to the generalized Autoregressive Conditional Heteroscedastic (GJR-GARCH (P, Q)) which is one of the non - liner time series models . The analysis has improved that model (GJR-GARCH (2,1) is the best and that according is to (AIC) and (BIC) Criterion , where this model has been used to forcasting which is the main purpose from the study of time series analysis, note that results and the analyses procedures have been done using (MATLAB) program | ||
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