بناء نموذج GARCH مستدام للتنبؤ بسعر المطاط: نهج دالة الترجيح المعدلة لهوبر
محتوى المقالة الرئيسي
الملخص
الطبيعة غير المستقرة وغير المؤكدة لأسعار المطاط الطبيعي تجعلها شديدة التقلب وعرضة للقيم المتطرفة ، والتي يمكن أن يكون لها تأثير كبير على كل من النمذجة والتنبؤ. لمعالجة هذه المشكلة ، يوصي البحث بنموذج هجين يجمع بين نموذج الانحدار الذاتي (AR) ونموذج التباين الشرطي الشرطي المعمم (GARCH). يستخدم النموذج وظيفة الترجيح Huber لضمان بقاء القيمة المتوقعة لأسعار المطاط مستدامة حتى في وجود القيم المتطرفة. تهدف الدراسة إلى تطوير نموذج مستدام والتنبؤ بالأسعار اليومية لمدة 12 يومًا من خلال تحليل 2683 من بيانات الأسعار اليومية من الدرجة 20 للمطاط الماليزي القياسي (SMR 20) في ماليزيا. يشتمل التحليل على قياسين للتشتت (IQR / 3 و Sn) وثلاثة مستويات من تلوث IO (0٪ ، 10٪ ، و 20٪). تشير النتائج إلى أن استخدام دالة الترجيح Huber مع قياس IQR / 3 لبناء نموذج AR (1) -GARCH (2،1) يؤدي إلى استدامة أفضل. هذه النتائج لديها القدرة على تعزيز نموذج GARCH عن طريق تعديل وظيفة الترجيح لمقدر M.
Received 02/06/2022,
Revised 07/05/2023,
Accepted 09/05/2023,
Published Online First 20/07/2023
تفاصيل المقالة
هذا العمل مرخص بموجب Creative Commons Attribution 4.0 International License.
كيفية الاقتباس
المراجع
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