COMPARISON OF APARCH-TYPE MODELS: DOES THE CONTINUOUS AND JUMP COMPONENTS OF REALIZED VOLATILITY IMPROVE THE FITTING?
DB Nugroho, NIM Urosidin… - BAREKENG: Jurnal Ilmu …, 2024 - ojs3.unpatti.ac.id
This study aims to extend an APARCH-X (1, 1) model to the APARCH-CJ (1, 1) by
separating the exogenous variable X into two components: continuous and discontinuous …
separating the exogenous variable X into two components: continuous and discontinuous …