Estimation of the regression model in case of conditional heterogeneity of type EGARCH, ARCH - with practical application of money supply data
Abstract
This research aims at constructing a regression model with an approved
variable and illustrative variables for financial and economic time series
data in case of a problem of conditional heterogeneity variance (ARCH),
in addition to constructing a model of heterogeneous conditional
variation, which model the variability of prediction error variation, by
applying the method In order to achieve the objective of the research, a
work mechanism has been constructed that includes (9) sequential
phases, taking into account the fulfillment of the conditions and
hypotheses required to construct the regression model and the
heterogeneous conditional variance model (ARCH) in a reliable way to
make estimates. These bitter Solution on the data from within the
country and of money supply data y_t, assets and liabilities x_t1, x_t2,
using a number of ready-made programs (Eviews 9, gretl).
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