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Application of Iterative Approaches in Modeling the Efficiency of ARIMA-GARCH Processes in the Presence of Outliers

The study explored both Box and Jenkins, and iterative outlier detection procedures in determining the efficiency of ARIMA-GARCH-type models in the presence of outliers using the daily closing share price returns series of four prominent banks in Nigeria (Skye (Polaris) bank, Sterling bank, Unity bank and Zenith bank) from January 3, 2006 to November 24, 2016. The series consists of 2690 observations for each bank. The data were obtained from the Nigerian Stock Exchange. Unconditional variance and kurtosis coefficient were used as criteria for measuring the efficiency of ARIMA-GARCH-type model…

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Source	OpenAlex research
Collection	International records
Kind	Document
Publisher	Applied Mathematics
Date	2019-01-01
Type	article
Details	openalex authorships.countries:NG,primary topic.subfield.id:3320\|3321\|3308\|1202\|3303\|3312\|2002\|2000\|2003 + local /\bnige
Found at	https://doi.org/10.4236/am.2019.103012
Archived copy	Look it up in the Wayback Machine
Record ID	`openalex:W2930843992`

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Application of Iterative Approaches in Modeling the Efficiency of ARIMA-GARCH Processes in the Presence of Outliers. OpenAlex research, 2019. Vero Archive, record openalex:W2930843992.