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GENERALIZED AUTOREGRESSIVE CONDITIONAL …

GENERALIZED AUTOREGRESSIVE CONDITIONAL …

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0304-4076/86/$3.50© 1986, Elsevier Science Publishers B.V. (North-Holland) 308 T. Bollerslev, Generalization of A R C H process tional variance equation to take account of the long memory typically found in empirical work, since estimating a totally free lag distribution often will lead to violation of the non-negativity constraints. ...

  1968, Generalized, Conditional, Autoregressive, Generalized autoregressive conditional

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