| Judul/Title |
Robust time series clustering of GARCH (1,1) models with outliers |
| Penulis/Author |
Vemmie Nastiti Lestari, S.Si., M.Sc. (1); Prof. Dr. Abdurakhman, S.Si., M.Si. (2); Prof. Dr.rer.nat. Dedi Rosadi, S.Si.,, M.Sc. (3) |
| Tanggal/Date |
20 2024 |
| Kata Kunci/Keyword |
|
| Abstrak/Abstract |
GARCHmodelscancontainoutliers,suchasAdditiveLevelOutliers
(ALO)and/orAdditiveVolatilityOutliers(AVO), soarobustparam
eterestimationisusedtoovercomethepresenceofoutliers.This
studyusesQuasi-MaximumLikelihoodEstimation(QMLE)andM
estimationtoestimatetheparametersoftheGARCHmodelcontain
ingoutliers.HierarchicalandK-meansclusteringalgorithmsarethen
usedtoclustertime-seriesdatabasedondistancescalculatedfrom
theseparameterestimates.Theproposedapproachapplieshierar
chicalandK-meansclusteringusingdistancesderivedfromQMLE
andM-estimationresultsforGARCH(1,1)modelscontainingoutliers
forclusteringwithsimulationdataandacasestudyusingstockdata
listedintheIndonesiaStockExchange.Theresultsshowthathier
archicalandK-meansclusteringwithdistancebetweentwoGARCH
(1,1)modelsbasedonM-estimationproducesgoodclusterswith
smallerCindexthanQMLEestimationsforsimulationdataandthe
casestudyofstockdatainIndonesia. |
| Rumpun Ilmu |
Statistik |
| Bahasa Asli/Original Language |
English |
| Level |
Internasional |
| Status |
|
