Comparison of the Symmetric and Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Models in Forecasting the 2018-2023 Jakarta Composite Index
The Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) method assumes a homogeneous residual variance, but data with high volatility can cause violations of this assumption. Hence, it is interesting to compare the forecasting accuracy of symmetric and asymmetric Autoregressiv...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Bina Nusantara University
2024-05-01
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| Series: | ComTech |
| Subjects: | |
| Online Access: | https://journal.binus.ac.id/index.php/comtech/article/view/10610 |
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