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Full-Text Articles in Social and Behavioral Sciences
Modelling Volatility Of The Exchange Rate Of The Naira To Major Currencies, Reuben O. David, Hussaini G. Dikko, Shehu U. Gulumbe
Modelling Volatility Of The Exchange Rate Of The Naira To Major Currencies, Reuben O. David, Hussaini G. Dikko, Shehu U. Gulumbe
CBN Journal of Applied Statistics (JAS)
The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1,1) and its asymmetric variants. Three of the four returns series showed heteroscedasticity. The results of the fitted models indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results of the asymmetric model indicate different impacts for both negative and …
Improved Ridge Estimator In Linear Regression With Multicollinearity, Heteroscedastic Errors And Outliers, Ashok Vithoba Dorugade
Improved Ridge Estimator In Linear Regression With Multicollinearity, Heteroscedastic Errors And Outliers, Ashok Vithoba Dorugade
Journal of Modern Applied Statistical Methods
This paper introduces a new estimator, of ridge parameter k for ridge regression and then evaluated by Monte Carlo simulation. We examine the performance of the proposed estimators compared with other well-known estimators for the model with heteroscedastics and/or correlated errors, outlier observations, non-normal errors and suffer from the problem of multicollinearity. It is shown that proposed estimators have a smaller MSE than the ordinary least squared estimator (LS), Hoerl and Kennard (1970) estimator (RR), jackknifed modified ridge (JMR) estimator, and Jackknifed Ridge M‑estimator (JRM).