چکیده مقاله
We report on concepts and methods to implement the family of ARMA models with GARCH simulation and fitting models The software implementation is written in R language programming The implementation is tested with ARMA 1, 1 model applied to the simulated data set given by GARCH 1, 1 model Three different type of GARCH model are used to fit to the ARMA 1, 1 residuals The models are compared with AIC and BIC values Moreover forecasting 10 steps ahead form GARCH 1, 4 model Implementations are available for R software environments, which are open sources project for computational finance and financial engineering
کلیدواژهها
نویسندگان
Fatemeh Hassantabar Darzi
Academic member, Department of Statistics, University of Sistan and Baluchestan
Narges Khoshnazar
BSc, Department of Statistics, University of Sistan and Baluchestan
Mehrdad Eslami
Academic member, Department of Computer Science, University of Velayat Iranshahr
شیوه ارجاع
Hassantabar Darzi, Fatemeh and Khoshnazar, Narges and Eslami, Mehrdad,1394,Fitting an ARMA model to the GARCH simulations artificial time series, Forecasting GARCH model, An R software implementation,1st National Conference on Soft Computing,Rasht
ارائهشده در
مجموعه مقالات نخستین کنفرانس ملی محاسبات نرم27 آبان 1394 · رشت