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Model selection for GARCH models usi...

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Yang, Mei.

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Model selection for GARCH models using AIC and BIC.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Model selection for GARCH models using AIC and BIC./
Author:	Yang, Mei.
Description:	55 p.
Notes:	Advisers: David Hamilton; Bruce Smith.
Contained By:	Masters Abstracts International40-06.
Subject:	Statistics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MQ67541
ISBN:	0612675416

Model selection for GARCH models using AIC and BIC.
Yang, Mei.

Model selection for GARCH models using AIC and BIC. - 55 p.

Advisers: David Hamilton; Bruce Smith.

Thesis (M.Sc.)--Dalhousie University (Canada), 2002.

I get the conclusions that the data I used is a white noise process, the AIC and BIC criteria for model selection is not always so good, the software Splus for this problem is not so good.

ISBN: 0612675416Subjects--Topical Terms:

517247
Statistics.

Model selection for GARCH models using AIC and BIC.
LDR:01380nam 2200289 a 45 001 929166
005 20110427
008 110427s2002 eng d
020 $a 0612675416
035 $a (UnM)AAIMQ67541
035 $a AAIMQ67541
040 $a UnM $c UnM
100 1 $a Yang, Mei. $3 1252651
245 1 0 $a Model selection for GARCH models using AIC and BIC.
300 $a 55 p.
500 $a Advisers: David Hamilton; Bruce Smith.
500 $a Source: Masters Abstracts International, Volume: 40-06, page: 1540.
502 $a Thesis (M.Sc.)--Dalhousie University (Canada), 2002.
520 $a I get the conclusions that the data I used is a white noise process, the AIC and BIC criteria for model selection is not always so good, the software Splus for this problem is not so good.
520 $a The aim of my thesis is to provide some knowledge of ARCH and GARCH models and use them to analyze some data. I introduce the properties of ARCH and GARCH models and do a simulation study by comparing with white noise, AR, MA and ARMA models. I analyze the data by choosing the ‘best’ GARCH model.
590 $a School code: 0328.
650 4 $a Statistics. $3 517247
690 $a 0463
710 2 0 $a Dalhousie University (Canada). $3 1017625
773 0 $t Masters Abstracts International $g 40-06.
790 $a 0328
790 1 0 $a Hamilton, David, $e advisor
790 1 0 $a Smith, Bruce, $e advisor
791 $a M.Sc.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MQ67541

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