Abstract:This study has been able to reveal that the Combine White Noise model outperforms the existing Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Moving Average (MA) models in modeling the errors, that exhibits conditional heteroscedasticity and leverage effect. MA process cannot model the data that reveals conditional heteroscedasticity and GARCH cannot model the leverage effect also. The standardized residuals of GARCH errors are decomposed into series of white noise, modeled to be Combine… Show more
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