ROBUST ORDER IDENTIFICATION OF ARIMA AND GARCH MODELS: STATIONARY AND NON-STATIONARY PROCESS
DOI:
https://doi.org/10.33003/fjs-2023-0703-1847Keywords:
Stationary, Non-stationary, Time series, Unit root test, ARIMA model, GARCH modelAbstract
Identification is the most important stage of all the stages of the modeling process. This research identifies a suitable order for the two different time series models ARIMA and GARCH. For GARCH two different distributions that is GARCH-STD and GARCH-GED with different sample sizes in fitting and forecasting stationary and non-stationary data structures was considered. The study recommends the use smallest information criterion like AIC and BIC to select the order of the model.
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Velicer, W. F.,& Colby, S. M. (1997). Time series analysis for prevention and treatment research. In K. J. Bryant, M. Windle, & S.G. West (Eds.), The science of prevention: Methodological advances firm alcohol and substance abuse research (pp. 211-249). Washington, DC: American Psychological Association.
Velicer, W. F., & Fava, J. L. (2003), Time Series analysis. In J. Schinka & WE Velicer (Eds,), Research methods in psychology (pp. 581-606). New York: Wiley.
S. Matta L.H.R. speech 2016: continuity from prelinguistic communication to later language abilit a follow up study from infancy to early stage (pp. 581-606). New York: Wiley
Stadntska T. Braurr&werner J. (2008) comparison of automated procedures for ARMA model identification behavior research method 2008, 40(1) 250-262
Velicer, W.F., & Colby, S. M (1997). Time series analysis for prevention and treatment research. In K. J. Bryant, M windle, & S.G west (Eds), the science of prevention research (pp. 221-249) American psychology association
Velicer, W. F.,& Colby, S. M. (1997). Time series analysis for prevention and treatment research. In K. J. Bryant, M. Windle, & S.G. West (Eds.), The science of prevention: Methodological advances firm alcohol and substance abuse research (pp. 211-249). Washington, DC: American Psychological Association.
Velicer, W. F., & Fava, J. L. (2003), Time Series analysis. In J. Schinka & WE Velicer (Eds,), Research methods in psychology (pp. 581-606). New York: Wiley.
Published
2023-07-07
How to Cite
Abdullahi, A. A., Kazeem, E. L., Abbas, U. F., & Hassan, M. (2023). ROBUST ORDER IDENTIFICATION OF ARIMA AND GARCH MODELS: STATIONARY AND NON-STATIONARY PROCESS. FUDMA JOURNAL OF SCIENCES, 7(3), 10 - 15. https://doi.org/10.33003/fjs-2023-0703-1847
Issue
Section
Research Articles
FUDMA Journal of Sciences
