| Abstract | 第5-6页 |
| 摘要 | 第7-11页 |
| List of Abbreviations and Acronyms | 第11-13页 |
| 1.Introduction | 第13-25页 |
| 1.0 Background | 第13-19页 |
| 1.1 Statement of the Research Problem | 第19-21页 |
| 1.2 Objectives of the Study | 第21-22页 |
| 1.3 Relevance and Justification of the Study | 第22-23页 |
| 1.4 Scope and Delimitations of the Study | 第23-24页 |
| 1.5 Organization of the Study | 第24-25页 |
| 2 Literature Review | 第25-31页 |
| 3 Methodology | 第31-41页 |
| 3.1 Introduction | 第31页 |
| 3.2 Unit Root Test | 第31-33页 |
| 3.3 Co-integration Test | 第33页 |
| 3.4 Error Correction Model (ECM) | 第33-34页 |
| 3.5 Distribution Assumptions | 第34-35页 |
| 3.5.1 Introduction | 第34页 |
| 3.5.2 Normal Distribution | 第34页 |
| 3.5.3 Student's t-distribution | 第34页 |
| 3.5.4 Skewed student's t-distribution | 第34-35页 |
| 3.6 Autoregressive and Heteroscedastic models and its specification | 第35-39页 |
| 3.6.1 ARMA Model | 第35页 |
| 3.6.2 ARCH Model | 第35-36页 |
| 3.6.3 GARCH Model | 第36-37页 |
| 3.6.4 TS-GARCH Model | 第37页 |
| 3.6.5 GJR-GARCH Model | 第37页 |
| 3.6.6 The APARCH model | 第37-39页 |
| 3.7 Forecasting | 第39-41页 |
| 3.7.1 Introduction | 第39页 |
| 3.7.2 Mean Squared Error (MSE) | 第39页 |
| 3.7.3 Mean Absolute Error (MAE) | 第39页 |
| 3.7.4 Adjusted Mean Absolute Percentage Error (AMAPE) | 第39-41页 |
| 4. Statistical Properties of the Asymmetric Power ARCH and Generalized ARCHProcess | 第41-64页 |
| 4.1 Introduction | 第41页 |
| 4.2 Properties of the APARCH model under ordered restriction | 第41-48页 |
| 4.2.1 The Proof | 第43-48页 |
| 4.3 Analytical Derivatives for the Score expressions of the parameters of theAPARCH model | 第48-51页 |
| 4.4 Moments and the Autocorrelation Function of the APARCH Process | 第51-53页 |
| 4.4.1 The proof | 第51-53页 |
| 4.5 Statistical properties of the GARCH Process | 第53-64页 |
| 4.5.1 The proof | 第55-64页 |
| 5 Empirical Application and discussions of results (S& P 500 daily stock index and theSierra Leone monthly exchange rates (Le/USD)) | 第64-83页 |
| 5.1 Introduction | 第64页 |
| 5.2 Data Analysis for the Standard & Poor 500 daily stock index | 第64页 |
| 5.3 Empirical results and discussions for the Standard & Poor 500 daily index52 | 第64-73页 |
| 5.3.1 Unit Root test | 第66-67页 |
| 5.3.2 Co-integration test | 第67页 |
| 5.3.3 Error correction model (ECM) | 第67-68页 |
| 5.3.4 Estimation results of ARMA(2,0)-TS-GARCH(2,0),GJR-GARCH(2,0) and APARCH(2,0) with conditional distribution | 第68-72页 |
| 5.3.5 Forecasting results | 第72-73页 |
| 5.4 Data Analysis for the Sierra Leone monthly exchange rate (Le/USD) | 第73页 |
| 5.5 Empirical results and discussions for the Sierra Leone monthly exchange rate(Le/USD) | 第73-83页 |
| 5.5.1 Unit Root tests for the Sierra Leone monthly exchange rate (Le/USD) | 第75-76页 |
| 5.5.2 Co-integration test for the Sierra Leone monthly exchange rate (Le/USD) | 第76-77页 |
| 5.5.3 Error correction model (ECM) for the Sierra Leone monthly exchange rate (Le/USD) | 第77-78页 |
| 5.5.4 Estimation Result of ARMA(1,1)-GARCH(1,1),GJR-GARCH(1,1) and APARCH(1,1) with conditional distributions for the Sierra Leone monthly exchange rate (Le/USD) | 第78-82页 |
| 5.5.5 Forecasting results for the Sierra Leone monthly exchange rate (Le/USD) | 第82-83页 |
| 6 Conclusion, Recommendations and Further research | 第83-87页 |
| 6.1 Conclusion | 第83-85页 |
| 6.2 Recommendations and Further research | 第85-87页 |
| Abstract of Innovation Points | 第87-88页 |
| References | 第88-95页 |
| Published Academic Papers during Ph.D Period | 第95-96页 |
| Acknowledgement | 第96-97页 |
| Dedication | 第97-98页 |
| About the Author | 第98-102页 |
