Πλοήγηση ανά Θέμα / Λέξη-Κλειδί "GARCH (1,1)"
Αποτελέσματα 1-2 από 2
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Properties of the BDS test under GARCH(1,1) filtering.
(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 -
The performance of GARCH (1,1) models in forecasting volatility of financial markets.
(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. ...