This member introduces a class of migratory fractionally joined autoregressive moving average-statement conditional heteroscedasticity (SARFIMAGARCH) models, accompanying level shift type intervention that are worthy capturing together four key features momentary series: seasonality, long range reliance, volatility and level shift. The main focus act modelling migratory level shift (SLS) in fractionally joined and volatile processes. A normal extension of the seasonal level shift discovery test of the mean for a realization momentary series fulfilling SLS-SARFIMA and SLS-GARCH models was derived. Test enumerations that are useful to test if seasonal level shift in an SARFIMA-GARCH model is statistically believable were introduced. Estimation of SLS-SARFIMA and SLS-GARCH limits are also likely.
Author(s) Details:
Lawrence Dhliwayo,
Department
of Statistics, University of Zimbabwe, Harare, Zimbabwe.
Florance
Matarise,
Department
of Statistics, University of Zimbabwe, Harare, Zimbabwe.
Charles Chimedza,
School of Statistics and Actuarial Science, University of
Witwatersrand, Johannesburg, South Africa.
Please see the link here: https://stm.bookpi.org/RHMCS-V2/article/view/8659
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