UUM Repository | Universiti Utara Malaysian Institutional Repository
FAQs | Feedback | Search Tips | Sitemap

Evaluating combine white noise with US and UK GDP quarterly data


Agboluaje, Ayodele Abraham and Ismail, Suzilah and Yip, Chee Yin (2016) Evaluating combine white noise with US and UK GDP quarterly data. Gazi University Journal of Science, 29 (2). pp. 365-372. ISSN 2147-1762

[img] PDF
Restricted to Registered users only

Download (327kB) | Request a copy

Abstract

The main objective of this study is to evaluate the Combine White Noise (CWN) model for the confirmation of its effectiveness in addressing the error term challenges.CWN models the leverage effect appropriately with better estimation results of which the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model cannot handled.The determinant of the residual co variance matrix values indicates that CWN estimation is efficient for each country.CWN has a minimum forecast errors which indicates forecast accuracy by estimating the countries data individually.The overall results indicate that CWN estimation provide more efficient and better forecast accuracy than EGARCH estimation.This boosts the economy.

Item Type: Article
Uncontrolled Keywords: Combine white noise; Efficient; Forecast accuracy; Log likelihood.
Subjects: Q Science > QA Mathematics
Divisions: School of Quantitative Sciences
Depositing User: Dr. Suzilah Ismail
Date Deposited: 22 Aug 2016 08:37
Last Modified: 22 Aug 2016 08:37
URI: http://repo.uum.edu.my/id/eprint/18610

Actions (login required)

View Item View Item