{"id":"https://openalex.org/W3121813623","doi":"https://doi.org/10.25130/tjps.v21i4.1069","title":"A Study On Stability Of Conditional Variances For GARCH Models With Application","display_name":"A Study On Stability Of Conditional Variances For GARCH Models With Application","publication_year":2023,"publication_date":"2023-02-07","ids":{"openalex":"https://openalex.org/W3121813623","doi":"https://doi.org/10.25130/tjps.v21i4.1069","mag":"3121813623"},"language":"en","primary_location":{"id":"doi:10.25130/tjps.v21i4.1069","doi":"https://doi.org/10.25130/tjps.v21i4.1069","is_oa":true,"landing_page_url":"https://doi.org/10.25130/tjps.v21i4.1069","pdf_url":"https://tjps.tu.edu.iq/index.php/tjps/article/download/1069/728","source":{"id":"https://openalex.org/S4210172100","display_name":"Tikrit Journal of Pure Science","issn_l":"1813-1662","issn":["1813-1662","2415-1726"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["doaj"],"host_organization":"https://openalex.org/P4360969360","host_organization_name":"Tikrit University","host_organization_lineage":["https://openalex.org/P4360969360"],"host_organization_lineage_names":["Tikrit University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Tikrit Journal of Pure Science","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://tjps.tu.edu.iq/index.php/tjps/article/download/1069/728","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5022599923","display_name":"Azher A. Mohammad","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Azher Abbas Mohammad","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5052622708","display_name":"Mayadah Khalil Ghaffar","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mayadah Khalil Ghaffar","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.1746,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.47153202,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"21","issue":"4","first_page":"160","last_page":"169"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.996999979019165},{"id":"https://openalex.org/keywords/conditional-volatility","display_name":"conditional variance","score":0.7369999885559082},{"id":"https://openalex.org/keywords/stability-conditions","display_name":"stability conditions","score":0.9350000023841858},{"id":"https://openalex.org/keywords/local-linearization","display_name":"local linearization","score":0.9139999747276306},{"id":"https://openalex.org/keywords/unconditional-variance","display_name":"unconditional variance","score":0.746999979019165},{"id":"https://openalex.org/keywords/monthly-mean-temperature","display_name":"mean monthly temperature","score":0.8080000281333923},{"id":"https://openalex.org/keywords/temperature-time-series","display_name":"temperature time series","score":0.734000027179718},{"id":"https://openalex.org/keywords/mosul","display_name":"Mosul","score":0.8619999885559082}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.8091944456100464},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.6707544326782227},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.582370400428772},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5315069556236267},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5096044540405273},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.42710593342781067},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.38117098808288574},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.1542799174785614},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0693628191947937}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.25130/tjps.v21i4.1069","doi":"https://doi.org/10.25130/tjps.v21i4.1069","is_oa":true,"landing_page_url":"https://doi.org/10.25130/tjps.v21i4.1069","pdf_url":"https://tjps.tu.edu.iq/index.php/tjps/article/download/1069/728","source":{"id":"https://openalex.org/S4210172100","display_name":"Tikrit Journal of Pure Science","issn_l":"1813-1662","issn":["1813-1662","2415-1726"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["doaj"],"host_organization":"https://openalex.org/P4360969360","host_organization_name":"Tikrit University","host_organization_lineage":["https://openalex.org/P4360969360"],"host_organization_lineage_names":["Tikrit University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Tikrit Journal of Pure Science","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:a070fb21ab124f49a23ef1c973236c70","doi":null,"is_oa":true,"landing_page_url":"https://doaj.org/article/a070fb21ab124f49a23ef1c973236c70","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Tikrit Journal of Pure Science, Vol 21, Iss 4 (2023)","raw_type":"article"},{"id":"mag:2895483795","doi":null,"is_oa":true,"landing_page_url":"http://tjps.tu.edu.iq/index.php/j/article/download/396/383","pdf_url":null,"source":{"id":"https://openalex.org/S4210172100","display_name":"Tikrit Journal of Pure Science","issn_l":"1813-1662","issn":["1813-1662","2415-1726"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["doaj"],"host_organization":"https://openalex.org/P4360969360","host_organization_name":"Tikrit University","host_organization_lineage":["https://openalex.org/P4360969360"],"host_organization_lineage_names":["Tikrit University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":"Tikrit Journal of Pure Science","raw_type":null},{"id":"mag:3121813623","doi":null,"is_oa":true,"landing_page_url":"http://www.iasj.net/iasj?func=fulltext&aId=115404","pdf_url":null,"source":{"id":"https://openalex.org/S4210172100","display_name":"Tikrit Journal of Pure Science","issn_l":"1813-1662","issn":["1813-1662","2415-1726"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["doaj"],"host_organization":"https://openalex.org/P4360969360","host_organization_name":"Tikrit University","host_organization_lineage":["https://openalex.org/P4360969360"],"host_organization_lineage_names":["Tikrit University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":"Tikrit Journal of Pure Science","raw_type":null}],"best_oa_location":{"id":"doi:10.25130/tjps.v21i4.1069","doi":"https://doi.org/10.25130/tjps.v21i4.1069","is_oa":true,"landing_page_url":"https://doi.org/10.25130/tjps.v21i4.1069","pdf_url":"https://tjps.tu.edu.iq/index.php/tjps/article/download/1069/728","source":{"id":"https://openalex.org/S4210172100","display_name":"Tikrit Journal of Pure Science","issn_l":"1813-1662","issn":["1813-1662","2415-1726"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["doaj"],"host_organization":"https://openalex.org/P4360969360","host_organization_name":"Tikrit University","host_organization_lineage":["https://openalex.org/P4360969360"],"host_organization_lineage_names":["Tikrit University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Tikrit Journal of Pure Science","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3121813623.pdf","grobid_xml":"https://content.openalex.org/works/W3121813623.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2895483795","https://openalex.org/W4312286080","https://openalex.org/W4390445007","https://openalex.org/W1980431701","https://openalex.org/W2617856956","https://openalex.org/W7095564130","https://openalex.org/W6989640957","https://openalex.org/W3196881211","https://openalex.org/W2160012257","https://openalex.org/W4407582509"],"abstract_inverted_index":{"In":[0,22],"this":[1,51],"paper":[2],"we":[3,12,24,69],"study":[4,25,52],"the":[5,26,41,58,76],"stability":[6,27],"conditions":[7,15],"of":[8,28,40,46],"GARCH":[9],"models":[10],"and":[11,68],"find":[13,70],"these":[14,33],"by":[16],"using":[17],"a":[18,54],"local":[19],"linearization":[20],"technique.":[21],"addition":[23],"conditional":[29],"variances":[30],"predictions":[31,34],"where":[32],"converge":[35],"to":[36,53],"an":[37],"unconditional":[38],"variance":[39],"model":[42,74,78],"after":[43],"finite":[44],"number":[45],"prediction":[47],"steps.":[48],"We":[49],"apply":[50],"time":[55],"series":[56],"represent":[57],"monthly":[59],"mean":[60],"temperature":[61],"in":[62],"Mosul":[63],"city":[64],"for":[65,79],"years":[66],"1978-2011":[67],"that":[71],"ARCH":[72],"(1)":[73],"is":[75],"fit":[77],"prediction.":[80]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2021-02-01T00:00:00"}