مشخصات پژوهش

عنوان	Gumbel GARCH Model with Stock Application
نوع پژوهش	مقاله چاپ شده
کلیدواژه‌ها	GARCH models, Gumbel distribution, maximum likelihood estimation stationarity.
چکیده	The paper proposes a new GARCH model with Gumbel conditional distribution. Several statistical properties of the model are established, like autocorrelation function and stationarity. We consider two methods for estimating the unknown parameters of the model and investigate properties of the estimators. The performances of the estimators are checked by a simulation study. We investigate the application of the process using a real stock data.
پژوهشگران	فاطمه ضیایی نژاد (نفر دوم)، مهرناز محمدپور (نفر اول)