Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions

DOI10.1080/03610918.2021.1891432OpenAlexW3134049444MaRDI QIDQ6172132

Remal Shaher al-Gounmeein, Mohd Tahir Ismail

Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1891432

zbMATH Keywords

hybrid modelasymmetric effectautoregressive fractionally integrated moving averagegeneralized autoregressive conditionally heteroscedasticitymodeling and forecastingsymmetric effect

Mathematics Subject Classification ID

Statistics (62-XX)

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