Open Access Original Research Article

Benefit of GARCH Multivariate Models: Application to the Energy Market

Madjda Amrani, Halim Zeghdoudi

Asian Journal of Probability and Statistics, Page 1-11
DOI: 10.9734/ajpas/2021/v13i430312

This article presents the advantages of multivariate GARCH models. Multivariate GARCH models are identified as the best and flexible models in econometrics. Also, the interest of these models is to be able to examine and analyze the various relations which the various series maintain between them. In order to be able to estimate several financial series to analyze their correlations and transfers of volatility. We present an application on the relationship between the existing volatility in the oil market and the energy market, which we found that the assembly performance of the BEKK-GARCH form is better than that of other models.

Open Access Original Research Article

Effect of Communicable Diseases on the Economy: A Panel Data Analysis

Prinye Bethel Brown, Isaac Didi Essi

Asian Journal of Probability and Statistics, Page 12-31
DOI: 10.9734/ajpas/2021/v13i430313

Communicable diseases are a major health challenge for the world. However, their negative impacts are felt most in Africa. This panel data study investigates the effect of communicable diseases and health expenditure on the economy. Gross Domestic Product (GDP) and current health expenditure are used as proxies for economic performance and health expenditure, respectively. Incidence of Tuberculosis, prevalence of Human Immunodeficiency Virus (HIV), and adults living with HIV (15 years - above) are the health indicators used in the study. Data for a period of ten years: 2007 to 2016 were collected from seven African countries in low and middle-income countries, according to World Health Organization (WHO) income groupings. Low-income countries are Gambia, Sierra Leone, and Togo, while Egypt, Ghana, Nigeria, and South Africa are middle-income countries. The three analytical panel data models; namely: Pooled Ordinary Least Squares Model (POLS), Fixed Effects Model (FEM) and Random Effects Model (REM) were used. Model selection tests were also performed, using the F Ratio Test, the Breush-Pagan Langrange Multiplier Test, and the Hausman Test, to choose the model that best describes the data. The results of the model selection tests show that the FEM is the most appropriate model for the data; therefore, the result of the FEM is used to interpret the impact of communicable diseases on the economy. First, the FEM analysis generally showed that HIV prevalence has a statistically significant negative effect on GDP, which is consistent with the existing literature. On the other hand, the incidence of tuberculosis and adults living with HIV have statistically positive effect. The result also shows that current health expenditure per capita is positively correlated with GDP, which implies that a unit increase in current health expenditure would lead to an increase of 961 units in GDP, based on the data used. Second, an additional analysis conducted in FEM to determine the effect of the variables in each country reveal that adults living with HIV and HIV prevalence have a statistically significant negative effect on economic performance. In conclusion, communicable diseases are an impediment to economic growth. The prevention and control of these diseases is a step in the right direction towards improving economic performance.

Open Access Original Research Article

On The Transmuted Powered Moment Exponential Distribution

Zafar Iqbal, Muhammad Rashad, Abdur Razaq, Muhammad Salman, Afsheen Javed

Asian Journal of Probability and Statistics, Page 32-46
DOI: 10.9734/ajpas/2021/v13i430314

We introduce a new class of lifetime models called the transmuted powered moment exponential distribution. More specifically, the transmuted powered moment exponential distribution covers several new distributions. Survival analysis including survival function, hazard rate function and other related measures are computed. Analytical expressions for various mathematical properties of TPMED including rth moment, quantile function, inequality measures, and parameters are estimated by using maximum likelihood estimation and order statistics are also derived. A simulation study of the proposed distribution is performed. It is discovered that the Maximum Likelihood Estimators are consistent since the bias and Mean Square Error approach to zero when the sample size increases. The usefulness of the model associated with this distribution is illustrated by two real data sets and the new model provides a better fit than the models provided in literature.

Open Access Original Research Article

A New Class of Life Distributions Based on Moment Inequalities

E. M. A. Hassan, M. M. Said

Asian Journal of Probability and Statistics, Page 47-57
DOI: 10.9734/ajpas/2021/v13i430315

In this paper, a new class of life distribution is named new better than renewal used in moment generating function (NBRUmgf). A new test for exponentiality versus NBRUmgf based on moment inequalities is established. Pitman's asymptotic efficiencies, powers and critical values of the new test are calculated to assess the performance of the test. The right censored data is handled also. Finally some applications are applied to the new test.

Open Access Review Article

A Brief Introduction to Regression Analysis and Its Types

Muhajir Sial

Asian Journal of Probability and Statistics, Page 58-63
DOI: 10.9734/ajpas/2021/v13i430316

This article may be used for research, teaching, and private study purposes. In this study, I focused on regression analysis and with a special focus on types of regression analysis and some types of regression. The term regression is used to indicate the estimation or prediction of the average value of one variable for a specified value of another variable. And Regression Analysis is a statistical tool used to estimate the relationship between a dependent variable and an independent variable. For example, if a Manger of a firm wants to the exact relationship between advertisement expenditure and sales for future planning then the regression technique will be most suitable for him.