Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model

DOI10.1080/03610926.2018.1535073OpenAlexW2906304120MaRDI QIDQ5085572

Siti Aisyah Mohammed, Noratiqah Mohd Ariff, Mohd Aftar abu Bakar

Publication date: 27 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1535073

zbMATH Keywords

wavelet transformvolatilityde-noisingEGARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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