Example: stock market
GENERALIZED AUTOREGRESSIVE CONDITIONAL …

GENERALIZED AUTOREGRESSIVE CONDITIONAL …

Back to document page

empirical work, since estimating a totally free lag distribution often will lead to violation of the non-negativity constraints. In this paper a new, more general class of processes, GARCH (Generalized Autoregressive Conditional Heteroskedastic), is introduced, allowing for a much more flexible lag structure.

  Estimating, Generalized, Conditional, Autoregressive, Generalized autoregressive conditional

Download GENERALIZED AUTOREGRESSIVE CONDITIONAL …


Information

Domain:

Source:

Link to this page:

Please notify us if you found a problem with this document:

Other abuse

Advertisement

Related search queries