Modeling of Returns Volatility using GARCH(1,1) Model under Tukey Transformations
This study proposed two new classes of GARCH(1,1) model by applying the Tukeytransformations to the returns and to the lagged variance. The behavior of return volatility was investigated on the basis of models with normal and Student-t distributions for return error. The competing models were estima...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Petra Christian University
2019-05-01
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| Series: | Jurnal Akuntansi dan Keuangan |
| Subjects: | |
| Online Access: | http://jurnalakuntansi.petra.ac.id/index.php/aku/article/view/21359 |