Standardized exponentiated Gumbel error innovation distribution in modelling volatility models
Abstract
Here we proposed three classes of volatility models using Standardized Exponentiated Gumbel Error Innovation Distribution (SEGEID). Important statistical and mathematical properties of this models have been discussed and derived. Hence, the parameters of the volatility models are discussed using the general log likelihood function of the SEGEID. Finally, the volatility models were obtained through partial derivative by adopting a method of numerical method BFGS.
Copyright © 2022 Olayemi Michael Sunday, Olubiyi Adenike Oluwafunmilola. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Cite this article
O. M. Sunday, O. A. Oluwafunmilola, Standardized exponentiated Gumbel error innovation distribution in modelling volatility models, J. Math. Comput. Sci. 12 (2022), 42. https://doi.org/10.28919/jmcs/6916
BibTeX
@article{Sunday2022,
author = {Sunday, Olayemi Michael and Oluwafunmilola, Olubiyi Adenike},
title = {Standardized exponentiated Gumbel error innovation distribution in modelling volatility models},
journal = {J. Math. Comput. Sci.},
volume = {12},
year = {2022},
pages = {42},
doi = {10.28919/jmcs/6916}
}