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Search results with tag "Generalized autoregressive conditional"

LECTURE ON THE MARKOV SWITCHING MODEL

LECTURE ON THE MARKOV SWITCHING MODEL

homepage.ntu.edu.tw

and Rau, Lin and Li (2001). Given that the Markov switching model of conditional mean is highly successful, it is natural to consider incorporating this switching mecha-nism into conditional variance models. A leading class of conditional variance models is the GARCH (generalized autoregressive conditional heteroskedasticity) model intro-

  Generalized, Conditional, Autoregressive, Generalized autoregressive conditional

GENERALIZED AUTOREGRESSIVE CONDITIONAL …

GENERALIZED AUTOREGRESSIVE CONDITIONAL …

public.econ.duke.edu

Journal of Econometrics 31 (1986) 307-327. North-Holland GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY Tim BOLLERSLEV* University of California at San Diego, La Jolla, CA 92093, USA Institute of Economics, University of Aarhus, Denmark Received May 1985, final version received February 1986

  Econometrics, Generalized, Conditional, Heteroskedasticity, Autoregressive, Of econometrics, Generalized autoregressive conditional, Generalized autoregressive conditional heteroskedasticity

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Conditional, GENERALIZED AUTOREGRESSIVE CONDITIONAL, Of Econometrics, GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY