Modelling Petroleum Prices between Garch and Intergeated Garch, (Igarch)
Journal of Advances in Mathematics and Computer Science,
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.
- asset returns
How to Cite
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