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Adopting Principle Of Parsimony In Modelling Time Series Using Heteroscedasticity Models
We adopt the principle of parsimony in heteroscedasticity models on eight insurance stocks. The results showed that the daily returns were stationary but not normally distributed and six out of eight stocks considered for the study showed evidence of ARCH effect. Post estimation and performance evolution metric was evaluated using the RMSE, MAE and MAPE but since the RMSE show
