Journal of Mathematics Technology and Education
Vol. 1 No. 3 (2022): Journal of Mathematics Technology and Education

Parameter Estimation of GARCH Model with Bootstrap Approximation: Penaksiran Paramater Model GARCH Menggunakan Pendekatan Bootstrap

Hutasoit, Anggiarmi (Unknown)
Sutarman (Unknown)

Article Info

Publish Date
03 Jun 2022

Abstract

This study aims to estimate the parameters of the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model using a bootstrap approach. In the heteroscedasticity data model, it is determined how much the residual value of the sample used is. The bootstrap approach is a non-parametric and resampling technique used to estimate the parameter. From the sample data implemented, the residual estimation using the Maximum Likelihood Estimation method is - 0.065851304. Furthermore, the residual estimation value using the bootstrap approach is -1.769129241. Thus, the use of the bootstrap approach in the GARCH model results in a smaller residual value than MLE.

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Journal Info
Journal of Mathematics Technology and Education
Website

Abbrev

jomte

Publisher

TALENTA PUBLISHER

Subject

Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Electrical & Electronics Engineering Energy Environmental Science Industrial & Manufacturing Engineering Mathematics Mechanical Engineering Physics Social Sciences Transportation

Description

ournal of Mathematics Technology and Education (JoMTE) is a peer-reviewed four times a year journal (March, June, September, and December) published by TALENTA Publisher and organized by Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Sumatera Utara (USU) as an ...