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

DOI10.1155/2020/5095181zbMath1445.62308OpenAlexW3032167795MaRDI QIDQ2193447

Emmanuel Gabreyohannes, Hayimro Edmealem, Amare Wubishet Ayele

Publication date: 18 August 2020

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

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

zbMATH Keywords

leptokurtic distributionautoregressive conditional heteroskedastic model

Mathematics Subject Classification ID

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

Uses Software

• FinTS

Cites Work

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