Variance targeting estimator for GJR-GARCH under model’s misspecification

QR Code

Variance targeting estimator for GJR-GARCH under model’s misspecification

The application of the Variance Targeting Estimator (VTE) is considered in GJR-GARCH(1,1) model, under three misspecification scenarios, which are, model misspecification, initial parameters misspecification and innovation distribution assumption misspecification. A simulation study has been perform...

Full description

Bibliographic Details
Published in:	Sains Malaysiana
Main Author:	Rahim M.A.A.; Zahari S.M.; Shariff S.S.R.
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2018
Online Access:	https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056373529&doi=10.17576%2fjsm-2018-4709-30&partnerID=40&md5=9acb687f8488e2f1cd44c2ff7b5672ef

Similar Items

Modelling foreign exchange rates: A comparison between Markov-switching and Markov-switching GARCH
by: Amin Nunian M.A.; Zahari S.M.; Radiah Shariff S.S.
Published: (2020)

Currency hedging strategies using multivariate garch models
by: Mohd M.A.; Nawawi A.H.M.; Hussin S.A.S.; Ramdzan S.N.A.
Published: (2016)

Modelling of mining dragline joint: A sensitivity analysis with sobol’s variance-based method
by: Abu Bakar I.A.; Jaafar J.; Awang H.; Shamsham Nahar N.A.
Published: (2016)

Volatility modelling of Malaysia Islamic and conventional stock prices by using GARCH and EGARCH model
by: Hussin S.A.S.; Latip A.H.A.; Zahid Z.
Published: (2024)

Modelling and forecasting S&P 500 stock prices using hybrid Arima-Garch Model
by: Mustapa F.H.; Ismail M.T.
Published: (2019)

Variance of total dissolved solids and electrical conductivity for water quality in Sabak Bernam
by: Sulaiman M.S.; Abd Rahman M.F.; Mohd Adam A.F.
Published: (2023)

Gold price forecasting using ARIMA-GARCH model during COVID-19 pandemic outbreak
by: Naji A.S.M.; Yaziz S.R.; Zakaria R.; Mohamad N.N.; Radi N.F.A.
Published: (2024)

Analysis of variance of the effects of a project’s location on key issues and challenges in post-disaster reconstruction projects
by: Ismail D.; Majid T.A.; Roosli R.
Published: (2017)

Alternative methods for forecasting variations in hospital bed admission
by: Shariff S.S.R.; Suhaimi M.A.; Zahari S.M.; Derasit Z.
Published: (2018)

Optimal Decisions in an Authorized Remanufacturing Closed-Loop Supply Chain under Dual-Fairness Concerns
by: Deng Z.; Shaharudin M.R.; Shariff S.S.R.; Tseng M.-L.
Published: (2024)

Confidence Interval for Parameters Estimates in Circular Simultaneous Functional Relationship Model (CSFRM) for Equal Variances using Normal Asymptotic and Bootstrap Confidence Intervals; [Selang Keyakinan Anggaran Parameter untuk Model Hubungan Fungsian Membulat Serentak (CSFRM) dengan Andaian Ralat Varians sama menggunakan Pendekatan Asimptot dan Pembutstrapan]
by: Badarisam F.N.; Anuar M.S.M.; Hussin A.G.; Rambli A.; Zulkifli N.R.
Published: (2022)

SPECTRUM AVERAGING IN A MIMO FMCW MARITIME RADAR FOR A SMALL FLUCTUATING TARGET RANGE ESTIMATION
by: Zainuddin S.; Rashid N.E.A.; Ibrahim I.P.; Abdullah R.S.A.R.; Khan Z.I.
Published: (2022)

Estimation of target hazard quotients and potential health risks for metals by consumption of shrimp (Litopenaeus vannamei) in Selangor, Malaysia
by: Rajan S.; Ishak N.S.
Published: (2017)

The development of halalan toyyiban warehouse performance measurement system model and its usability
by: Shadan H.; Shariff S.S.R.; Zainal Abidin S.A.S.; Nasir S.
Published: (2023)

Modelling the Shortest Path for Inner Warehouse Travelling Using the Floyd–Warshall Algorithm
by: Nordin N.A.M.; Shariff S.S.R.; Supadi S.S.; Masudin I.
Published: (2024)

Clutter reduction technique based on clutter model for automatic target classification in forward scatter radar
by: Rashid N.E.A.; Zakaria N.A.Z.; Khan Z.I.; Rahim S.A.E.A.; Saleh N.L.
Published: (2022)

Halalan Toyyiban Warehouse Performance Model: An Adapted Balanced Scorecard Approach
by: Shariff S.S.R.; Shadan H.; Sarah Zainal Abidin S.A.; Muhammad A.; Nasir S.
Published: (2020)

A tri-level AHP approach for port logistics personnel performance evaluation
by: Bahri M.S.S.; Shariff S.S.R.; Zolkefley N.S.I.; Shariff S.S.R.; Yahya N.
Published: (2021)

Deep Learning Enabled State of Charge Estimation for Electric Vehicle Batteries Under Noise Effects
by: Lipu M.S.H.; Miah M.S.; Ansari S.; Meraj S.T.; Hasan K.
Published: (2022)

Classification of Severity Areas in Dengue Control Strategies Using k-Nearest Neighbours (kNN)
by: Afrina Wan Muhammad Azan W.N.; Shariff S.S.R.; Zahari S.M.; Mustafa N.A.; Bin Zainal H.; Solleh M.; Hamdi Nor Azlan A.Z.
Published: (2024)

Rasch measurement model: A review of Bayesian estimation for estimating the person and item parameters
by: Binti Azizan N.H.; Mahmud Z.B.; Rambli A.B.
Published: (2019)

Chitosan Nanoparticles for Targeted Cancer Therapy: A Review of Stimuli-Responsive, Passive, and Active Targeting Strategies
by: Al-Shadidi J.R.M.H.; Al-Shammari S.; Al-Mutairi D.; Alkhudhair D.; Thu H.E.; Hussain Z.
Published: (2024)

Chitosan Nanoparticles for Targeted Cancer Therapy: A Review of Stimuli-Responsive, Passive, and Active Targeting Strategies
by: Al-Shadidi, et al.
Published: (2024)

Comparison of visual acuity estimates using three different letter charts under two ambient room illuminations
by: Chen A.-H.; Norazman F.; Buari N.
Published: (2012)

The Development of Gout Treat-To-Target booklet
by: Mustafa N.; Isa M.R.; Baharuddin H.
Published: (2024)

Predictive models for the estimation of riverbank erosion rates
by: Saadon A.; Abdullah J.; Muhammad N.S.; Ariffin J.; Julien P.Y.
Published: (2021)

Effects on parameter estimates and goodness of fit measures: Comparing item-level and item-parcel models in structural equation modeling
by: Kamaruddin A.A.; Yap B.W.; Deni S.M.
Published: (2020)

COMPARATIVE ANALYSIS ON DECISION CRITERIA FOR PORT PERSONNEL USING HYBRID ANALYTICAL HIERARCHY PROCESS (H-AHP)
by: Bahri M.S.S.; Shariff S.S.R.; Yahya N.
Published: (2022)

Evaluating Priorities of Environmentally Sustainable Port Performance Using an Intuitionistic Fuzzy Analytical Hierarchy Process Approach
by: Bahri M.S.S.; Shariff S.S.R.; Yahya N.
Published: (2024)

DEVELOPMENT AND VALIDATION OF GOUT TREATTO-TARGET BOOKLET
by: Mustafa, et al.
Published: (2023)

Locational Analysis of Refuelling Stations using p-Median
by: Baharom N.; Shariff S.S.R.; Nasir N.
Published: (2024)

Transferrin receptors-targeting nanocarriers for efficient targeted delivery and transcytosis of drugs into the brain tumors: a review of recent advancements and emerging trends
by: Choudhury H.; Pandey M.; Chin P.X.; Phang Y.L.; Cheah J.Y.; Ooi S.C.; Mak K.-K.; Pichika M.R.; Kesharwani P.; Hussain Z.; Gorain B.
Published: (2018)

Radar-Based Exercise Energy Expenditure Estimation with Deep Learning
by: Yusni A.N.; Mohd Shariff K.K.; Md Ali M.A.; Yassin I.M.; Sariman H.; Yazli A.Y.
Published: (2024)

Sensitivity Analysis in Finding Shortest Path for Order Picker with Limited Picking Capacity
by: Nordin N.A.M.; Shariff S.S.R.; Omar M.
Published: (2020)

ADOPTING SUSTAINABILITY URBAN TRANSPORT INDEX (SUTI) INTO AIR FREIGHT SYSTEM
by: Mohamad N.A.; Shariff S.S.R.; Sazali M.F.
Published: (2023)

Measuring the Sustainability of Air Freight System using integrated Sustainable Urban Transport Index (iSUTI)
by: Shariff S.S.R.; Mohamad N.A.; Sazali M.F.
Published: (2023)

Short-term Gini coefficient estimation using nonlinear autoregressive multilayer perceptron model
by: Ali, et al.
Published: (2024)

Spectral estimator effects on accuracy of speed-over-ground radar
by: Mohd Shariff K.K.; Zainuddin S.; Abdul Aziz N.H.; Abd Rashid N.E.; Zalina Zakaria N.A.
Published: (2022)

Golgi apparatus targeted therapy in cancer: Are we there yet?
by: Lee Z.Y.; Lee W.H.; Lim J.S.; Ali A.A.A.; Loo J.S.E.; Wibowo A.; Mohammat M.F.; Foo J.B.
Published: (2024)

Developing an Integrative Data Intelligence Model for Construction Cost Estimation
by: Ali Z.H.; Burhan A.M.; Kassim M.; Al-Khafaji Z.
Published: (2022)