Open AccessAutoregressive Fractionally Integrated Moving Average-Generalized Autoregressive Conditional Heteroskedasticity Model with Level Shift Intervention
Author(s) -
Lawrence Dhliwayo,
Florance Matarise,
Charles Chimedza
Publication year - 2020
Publication title -
open journal of statistics
Language(s) - English
Resource type - Journals
eISSN - 2161-7198
pISSN - 2161-718X
DOI - 10.4236/ojs.2020.102023
Subject(s) - autoregressive fractionally integrated moving average , autoregressive conditional heteroskedasticity , autoregressive model , star model , setar , econometrics , heteroscedasticity , mathematics , volatility (finance) , autoregressive integrated moving average , statistics , time series , long memory