Dynamical Approach in studying GJR-GARCH (Q,P) Models with Application
نویسندگان
چکیده
This paper deals with finding stationarity Condition of GJR-GARCH(Q,P) model by using a local linearization technique in order to reduce this non-linear linear difference equation constant coefficients and then obtain the condition via characteristic equation.
 Finally we apply obtained conditions real data that represents monthly Brent Crude oil prices at closing dollars for period (JUN. 1989-DES. 2018) find GJR-GARCH(3,1) is best according AIC BIC information criteria.
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ژورنال
عنوان ژورنال: Ma?alla? Tikr?t li-l-?ul?m al-?irfa?
سال: 2022
ISSN: ['2415-1726', '1813-1662']
DOI: https://doi.org/10.25130/tjps.v26i2.131