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

Authors

  • Nooruldeen A. Noori
  • Azher A. Mohammad

DOI:

https://doi.org/10.25130/tjps.v26i2.131

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.

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Published

2022-12-03

How to Cite

Nooruldeen A. Noori, & Azher A. Mohammad. (2022). Dynamical Approach in studying GJR-GARCH (Q,P) Models with Application. Tikrit Journal of Pure Science, 26(2), 145–156. https://doi.org/10.25130/tjps.v26i2.131

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