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Title: Estimation of the parameters of symmetric stable ARMA and ARMA-GARCH time series process Authors:  Neelesh Shankar Upadhye - Indian Institute of Technology Madras (India)
Aastha Madonna Sathe - IIT MADRAS (India) [presenting]
Abstract: The modified Hannan-Rissanen Method is proposed which is useful in estimating the parameters of symmetric stable autoregressive moving average (ARMA) time series process. The proposed method is also effective in estimating the ARMA process with the symmetric stable generalized autoregressive conditional heteroskedasticity (GARCH) noise. The efficiency, accuracy and simplicity of our method is shown through Monte-Carlo simulation. Finally, as an application of the proposed method, we model and assess the financial heavy-tailed data to show its practicality.