Open AccessModelling Petroleum Prices between Garch and Intergeated Garch, (Igarch)
Author(s) -
M. E. Archibong,
Isaac Didi Essi
Publication year - 2021
Publication title -
journal of advances in mathematics and computer science
Language(s) - English
Resource type - Journals
ISSN - 2456-9968
DOI - 10.9734/jamcs/2021/v36i230341
Subject(s) - autoregressive conditional heteroskedasticity , volatility (finance) , econometrics , kurtosis , economics , petroleum , mathematics , statistics , geology , paleontology
In this paper, the comparison of using garch (1, 1) and intergrated garch, igarch (1, 1) models on petroleum prices will be examined. This time-varying variation of asset returns as the horizon widens about kurtosis and volatility persistence are calculated and the results shows that petroleum prices dynamics submits more to igarch (1, 1) than garch (1, 1) model.