Non-Linear Time Series Modeling of Volatile Onion Price Data Using AR(p )-ARCH( q)-In-Mean

DOI10.1177/0008068320030308zbMath1065.62178OpenAlexW2513751972MaRDI QIDQ4661720

Prajneshu, Himadri Ghosh

Publication date: 30 March 2005

Published in: Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/0008068320030308

zbMATH Keywords

unit root teststochastic trendARCH processseasonal autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Kalman filter-based modelling and forecasting of stochastic volatility with threshold

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