Statistical Analysis of Linear and Non-Linear Smoothing Techniques under the Autoregressive (AR) and Generalized Auotregressive Conditional Heteroscedastic (Garch) Models


Authors : Stephen B. Atuah , Francis .A. Atintono , Felix O. Mettle , Ezekiel N. N. Noryey

Volume/Issue : Volume 3 - 2018, Issue 1 - January

Google Scholar : https://goo.gl/DF9R4u

Scribd : https://goo.gl/i1KzMt

Thomson Reuters ResearcherID : https://goo.gl/3bkzwv

This paper presents a comparison between the moving average and the LULU smoothing techniques for time series analysis under the Autoregressive(AR) and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models.. Different methods are being used for smoothing time series data and other smoothing purposes. These methods include moving average, weighted moving average, exponential smoothing, double exponential smoothing, Kernel smoothers, median smoothers, non-linear state space approach and LULU smoothers among others. The comparison between the moving average and the LULU smoothing methods in this paper is performed using monthly inflation data in Ghana from 2008 to 2013 under the AR modeling and the GARCH modeling procedures. The results showed that ARLU (1, 2) model was optimal. This is an indication that the LULU smoothing of order 2 is more accurate in smoothing inflation rates as compared to the moving average smoothing method. It also revealed that the ARLU (1, 2) modelis the best for modeling and forecasting monthly inflation rates in Ghana over the study period. A one year out of sample forecast for the year 2014 by the ARLU (1, 2) model showed that in the short term there would be a consistent increase in the monthly inflation rates in Ghana for the year 2014.

Keywords : LULU smoothers, Moving average, AR model, GARCH model, Inflation rates, Ghana.

CALL FOR PAPERS


Paper Submission Last Date
31 - March - 2024

Paper Review Notification
In 1-2 Days

Paper Publishing
In 2-3 Days

Video Explanation for Published paper

Never miss an update from Papermashup

Get notified about the latest tutorials and downloads.

Subscribe by Email

Get alerts directly into your inbox after each post and stay updated.
Subscribe
OR

Subscribe by RSS

Add our RSS to your feedreader to get regular updates from us.
Subscribe