Archibong, M. E. and Essi, I. D. (2021) Modelling Petroleum Prices between Garch and Intergeated Garch, (Igarch). Journal of Advances in Mathematics and Computer Science, 36 (2). pp. 95-101. ISSN 2456-9968
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Official URL: https://doi.org/10.9734/jamcs/2021/v36i230341
Abstract
In this paper, the comparison of using garch (1, 1) and intergrated garch, igarch (1, 1) models on petroleum prices will be examined. This time-varying variation of asset returns as the horizon widens about kurtosis and volatility persistence are calculated and the results shows that petroleum prices dynamics submits more to igarch (1, 1) than garch (1, 1) model.
| Item Type: | Article |
|---|---|
| Subjects: | South Asian Library > Mathematical Science |
| Depositing User: | Unnamed user with email support@southasianlibrary.com |
| Date Deposited: | 08 Mar 2023 11:46 |
| Last Modified: | 29 Jun 2024 12:26 |
| URI: | http://journal.repositoryarticle.com/id/eprint/103 |
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