2024 : 11 : 22
Mehrnaz Mohammadpour

Mehrnaz Mohammadpour

Academic rank: Associate Professor
ORCID:
Education: PhD.
ScopusId:
HIndex:
Faculty: Faculty of Mathematical Sciences
Address: Department of Statistics, University of Mazandaran, Babolsar, Iran
Phone: 011-35302475

Research

Title
Gumbel GARCH Model with Stock Application
Type
JournalPaper
Keywords
GARCH models, Gumbel distribution, maximum likelihood estimation stationarity.
Year
2018
Journal Metodoloski Zvezki
DOI
Researchers Mehrnaz Mohammadpour ، Fatemeh Ziaeenejad

Abstract

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.