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022			_a09723617
040			_aEG-GiCUC _beng _cEG-GiCUC
082	0		_a332.12096205
092	0	4	_a332.12096205 _bS9475 _221
099			_a04 _a332.12096205 S9475
240	0	0	_aAdvances and Applications in Statistics.
245	0	0	_aSuggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market / _cAmr Ibrahim Abdelrahman Elatraby, Ahmed Fathy Abdelaal Elwaqdy.
260			_aAllahabad, India : _bPushpa Publishing House Vijaya Niwas, _c2014.
300			_avolumes ; _c21 cm.
310			_airregular.
500			_aABSTRACT This study evaluates the performance of a group of ARCH and GARCH forecasting volatility models. The study also compares the performance of these models and tries to determine the best model according to some criteria. The study investigates the performance of ten models to predict the volatility. They are: ARCH, GARCH and IGARCH representing symmetric models and TARCH, APARCH, TGARCH, PGARCH, EGARCH, CGARCH and CTGARCH representing asymmetric models, with three distributions (Normal, Student{u2019}s t and Generalized Error Distribution). The conditional variance was entered and also the square root of the conditional variance as explanatory variable in the conditional mean equation for each of them. Noting that we dealt the models CGARCH and CTGARCH with only first order for the two parameters: AR(p) and MA(q). This study was performed on all indices separately because these indices differ in terms of properties and range of the data used in the study. The study suggesed the models providing accurate descriptions and forecasts. Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market - ResearchGate. Available from: http://www.researchgate.net/publication/267141869_Suggested_statistical_model_for_describing_the_fluctuations_in_the_conditional_variation_with_application_on_the_general_index_of_the_Egyptian_capital_market [accessed Aug 9, 2015].
500			_aAdvances and Applications in Statistics. Aims and Scope : ... which publishes original research papers and survey articles in all aspects of (Theoretical and Applied) Statistics. ... Vijaya Niwas, 198, Mumfordganj. Allahabad 211 002, INDIA . kkazad@pphmj.com.
650		0	_aCapital market _zEgypt _vStatistics _vPeriodicals.
650		0	_aSaving and investment _zEgypt _vStatistics _vPeriodicals.
650		0	_aStatistics _vPeriodicals.
650		0	_aStock exchanges _zEgypt _vStatistics _vPeriodicals.
760	0		_tAdvances and Applications in Statistics.
905			_aJamal _eCat.
905			_eRev.
942			_2ddc _cCR _n0
999			_c140040 _d140040
336			_atext _2rda content
337			_aUnmediated _2rdamedia
338			_avolume _2rdacarrier