Dynamical Approach in studying GJR-GARCH (Q,P) Models with Application

  • Nooruldeen A . Noori
  • Azher A. Mohammad

Abstract

This paper deals with finding stationarity Condition of GJR-GARCH(Q,P) model by using a local linearization technique in order to reduce this non-linear model to a linear difference equation with constant coefficients and then obtain the stationarity condition  via a characteristic equation.


Finally we apply the obtained stationarity conditions of GJR-GARCH(Q,P) model to a real data that represents a monthly Brent Crude oil prices at closing in dollars for period (JUN. 1989-DES. 2018) and we find that GJR-GARCH(3,1) is the best model according to AIC and BIC information criteria.


 


http://dx.doi.org/10.25130/tjps.26.2021.040

Published
Apr 21, 2021
How to Cite
. NOORI, Nooruldeen A; A. MOHAMMAD, Azher. Dynamical Approach in studying GJR-GARCH (Q,P) Models with Application. Tikrit Journal of Pure Science, [S.l.], v. 26, n. 2, p. 145-156, apr. 2021. ISSN 2415-1726. Available at: <http://tjps.tu.edu.iq/index.php/j/article/view/1136>. Date accessed: 08 dec. 2021. doi: http://dx.doi.org/10.25130/j.v26i2.1136.
Section
Articles