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Modelling Change Point in GARCH Models

by Amon kiregu, Anthony Waititu and Antony Ngunyi

American Journal of Applied Mathematics and Statistics. 2019, 7(4), 138-145. DOI: 10.12691/ajams-7-4-3
Pub. Date: June 24, 2019Views: 19370 Downloads: 21778Like: 3

change point PGARCH TGARCH GJRGARCH volatility

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Damascus Securities Exchange Weighted Index volatilities and Terrorist attacks in Syria

by Lamia Jamel and Abdelkader Derbali

International Journal of Business and Risk Management. 2019, 2(1), 9-15. DOI: 10.12691/ijbrm-2-1-2
Pub. Date: October 03, 2019Views: 13473 Downloads: 15068Like: 2

DSE volatilities terrorist attacks GARCH EGARCH TGARCH

Abstract Full Text PDF (214 KB) Full Text HTML Full Text ePUB (329 KB)

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