Browsing Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής by Subject / Keyword "GARCH (1,1)"
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(2002-12-01)This study examines the size of the BDS test in the flexible framework that the GARCH(1,1) process provides us in terms of moment, memory and heterogeneity
(2002-12-01)The purpose of this study is to examine the forecasting performance of the GARCH (1, 1) model in an attempt to answer to the findings of several forecasts competitions that present the GARCH models as poor forecast predictors. ...