Dynamical approach in studying stability condition of exponential (GARCH) models

Journal of King Saud University - Science - Tập 32 - Trang 272-278 - 2020
Azhar Abbas Mohammad1, Abduljabbar Ali Mudhir1
1Department of Mathematic, Tikrit University-College of Computer and Mathematic Sciences, Tikrit, Iraq

Tài liệu tham khảo

Black, Fischer, 1976. Studies of Stock Price Volatility Changes. In: Proceedings of the 1976 Meeting of the Business and Economic Statistics Section. American Statistical Association, Washington DC, 177–181. Bollerslev, 1986, Generalized Autoregressive Conditional Heteroskedasticity, J. Econ., 31, 307, 10.1016/0304-4076(86)90063-1 1994, 4, 2961 Engle, 1982, Autoregressive conditional heteroscedasticity with estimate of the variance of United Kingdom Inflation, Econometrica – The Econometric Soc., 50, 987, 10.2307/1912773 Francq, 2010 Mohammad, 2016, Studying the stability of conditional variances for GARCH models with application, Tikrit University J. Pure Sci., 1662, 271 Mohammad, 2010, Stability of Cauchy autoregressive model, Zanco, J. Pure Appl. Sci. – Sallahaddin University – Hawler Mohammad, 2007, Stabilibty of Logistic Autoregressive Model, Qatar University Sci. J., 27 Nelson, 1991, Conditional Heteroskedasticity in Asset Returns: a new approach, Econometrica – The Econometric Soc., 59, 347, 10.2307/2938260 Ozaki, 1985, Non-Linear Time Series Models and Dynamical Systems, Elsevier Science Publishers, 5, 25 Priestely, 1981, 1 Salim, 2012, A Study of the Stability of a Non-Linear Autoregressive Models, Australian J. Basic Appl. Sci., 6, 159 Tong, 1990