{"entities":{"Q947260":{"pageid":949108,"ns":120,"title":"Item:Q947260","lastrevid":65585979,"modified":"2026-04-12T03:36:52Z","type":"item","id":"Q947260","labels":{"en":{"language":"en","value":"Distributional analysis of empirical volatility in GARCH processes"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5348348"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$C6641278-A27E-4483-97A6-EAD17CB87804","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"264973a89e96232e98e339b1b9fe620309debda1","datavalue":{"value":{"text":"Distributional analysis of empirical volatility in GARCH processes","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q947260$9D4BDFF0-4E4F-4A68-8C03-4AD6105F0C00","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"b2c7b673acfb7bcd47a8f917e7b4adf0e1127210","datavalue":{"value":"1158.62055","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q947260$F9F743F7-67AB-4D3A-9B43-58665212300B","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"d0a5919e8fa04d3d329fd8c09238113fea9fc9b2","datavalue":{"value":{"entity-type":"item","numeric-id":169487,"id":"Q169487"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$BE7E03EA-0D9A-4EE0-AF94-20F2F391D6CA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"9cbd9b71f238ffcf05dd5caa7eb2578ba5687ea8","datavalue":{"value":{"entity-type":"item","numeric-id":203230,"id":"Q203230"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$EFC63D9C-2184-4E9E-B409-4616FA598021","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"473d19cf5ad21f3c08e861c50270a5bc1dd89473","datavalue":{"value":{"entity-type":"item","numeric-id":1354495,"id":"Q1354495"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$E81AA899-52DD-4145-B981-61EA532D5DFC","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"c4f1d146edae4b7d1fb7c199d8e4d54181e32d52","datavalue":{"value":{"entity-type":"item","numeric-id":62245,"id":"Q62245"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$1ACA4AE8-9F92-4653-8E33-29C417A3353F","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"bf6f7b353a66969518a90b0af004266817357ae3","datavalue":{"value":{"time":"+2008-09-29T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q947260$2352F4F6-6488-40BC-978E-AC5A4FBFC48F","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"1c03327190095198bee5f85722a338ed7d2df2d2","datavalue":{"value":"This paper considers in econometrics frequently used conditionally heteroskedastic time series given by \\(y_k=\\sigma_k\\varepsilon_k.\\) The conditional variance \\(\\sigma_k\\) is unknown, but its form is typically specified by means of recursive equations of the type GARCH(p,q). The main result of this paper is to obtain the limiting distributions for the differences between the special functionals of \\(y_k^2\\) and their counterparts corresponding to the right hand side of the GARCH equation. The proposed method is based on comparing the distributions of observed and implied volatilities. Some results of a numerical experiment for the case of a normal limiting distribution are given.","type":"string"},"datatype":"string"},"type":"statement","id":"Q947260$A94EA0D7-DE43-4E39-A780-779A6B231B2A","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"92329f1cb9f7975453b8f73efcc3a13f3be284e5","datavalue":{"value":{"entity-type":"item","numeric-id":588066,"id":"Q588066"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$4C428AC6-7C89-40A7-86A5-3ACAABEAFFF5","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"1179c6cdfc1e6cfa1ccf347b858a5b5914f11cdc","datavalue":{"value":"62M10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q947260$06E26544-2F84-4E97-B525-41A827BB2BB1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"111e6ab7e1421da23c7541a67fc8b00de58fc7a9","datavalue":{"value":"62E20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q947260$2EF77EA5-F512-4527-A1FD-582117F7E941","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4a8fc00d3d69e1837f024970c798053ff342d011","datavalue":{"value":"62P05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q947260$447A4B87-00F7-429C-A5E1-30B17184FBAC","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"e2300bcd9c6191c058a24d6a0f6d05258ac7e1dc","datavalue":{"value":"5348348","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q947260$45F17FB5-52E0-4286-BAEF-914D57EE43F5","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"70e3f46c09ffaacbf9d5ccf01a7ad5dcbdb78f0c","datavalue":{"value":"GARCH model","type":"string"},"datatype":"string"},"type":"statement","id":"Q947260$5C5B3E30-40FE-4347-825E-C41CCED4B500","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"2d560112dc364d76c91647e864765864e20661c1","datavalue":{"value":"limit theory","type":"string"},"datatype":"string"},"type":"statement","id":"Q947260$0E331C33-5F58-41F0-B28E-B6537165C66C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"ebb0b3b9917fcd05bead92f1173c0814cf634922","datavalue":{"value":"limiting distributions","type":"string"},"datatype":"string"},"type":"statement","id":"Q947260$3B8FB93F-B287-4BF1-AB29-D8EEA20B61E2","rank":"normal"}],"P1463":[{"mainsnak":{"snaktype":"value","property":"P1463","hash":"1dc5b7a517123dccfe9811abba2e3f8e76b961d6","datavalue":{"value":{"entity-type":"item","numeric-id":41690,"id":"Q41690"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$90DACF9C-377C-4EC1-8BDB-654966F74FA1","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$37A13FF1-96E4-4961-838F-2B3AD1E79B9B","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"c313100e23218e7ffd4492a843ffb334fec394e6","datavalue":{"value":"https://doi.org/10.1016/j.jspi.2007.02.014","type":"string"},"datatype":"url"},"type":"statement","id":"Q947260$A51F0FF5-7340-49E9-9314-C1675B080161","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"e6e63770802a904fd0ea435e5dc7010d101fd676","datavalue":{"value":"W1978434696","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q947260$1558EF2E-79B0-4181-9ACB-B7E67A6B6B90","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"4f6b0da659aba73de0b783a4ac832b792e5d3c21","datavalue":{"value":{"entity-type":"item","numeric-id":1766073,"id":"Q1766073"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$49B63B42-A12E-40AF-966B-78B30F344BE7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"082ee915660a946855805debbd6ed631f9efc546","datavalue":{"value":{"entity-type":"item","numeric-id":1872456,"id":"Q1872456"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$1BA01B69-318E-4B0D-BDFB-B5F0760B3F7E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9812da07869639cd7f1c306433fc4dc3d2543b7b","datavalue":{"value":{"entity-type":"item","numeric-id":1395935,"id":"Q1395935"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$9D7D593B-19D4-4D38-9580-592C8D8FFC4B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1dd49b833dd742d611c19e0150bea1fd33444adc","datavalue":{"value":{"entity-type":"item","numeric-id":1821471,"id":"Q1821471"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$FF7B26EF-4022-4C11-A9EE-E1ED1D639107","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9d77d8049620099aaa08047247f372a42cdab8b0","datavalue":{"value":{"entity-type":"item","numeric-id":1203653,"id":"Q1203653"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$14879762-835A-4F86-AE89-EDD46854474C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"53121166abf59401d16a513944b9200085fb081f","datavalue":{"value":{"entity-type":"item","numeric-id":1185109,"id":"Q1185109"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$39824F9F-6028-45B7-BCB6-CC055962E586","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0b40c4df560906f0da156e374f133083ac619a14","datavalue":{"value":{"entity-type":"item","numeric-id":4807280,"id":"Q4807280"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$FD1D6D37-A0D5-4ABD-902E-AE43FA9A88DE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f9e2d640c81e401a7696498e3db1aa0333cb40dd","datavalue":{"value":{"entity-type":"item","numeric-id":5691537,"id":"Q5691537"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$17B1AEC0-195A-4C1B-B2F6-4F30CE986ACC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"74290debfce69cc310028ad94ee6dbfa0dfb91fd","datavalue":{"value":{"entity-type":"item","numeric-id":5901995,"id":"Q5901995"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$5A3D9988-6F69-415E-A480-0B0C1CC35C4B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9a224e226e0cc5829a98aab8619cd2bb1b69712a","datavalue":{"value":{"entity-type":"item","numeric-id":3953065,"id":"Q3953065"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$A24EE893-B2EA-46C1-93F6-7C33BE136D4A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"654ee68b9de6d4ee28d4b9bcf0fd2be4824b1b9c","datavalue":{"value":{"entity-type":"item","numeric-id":3911791,"id":"Q3911791"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$B62B49C6-8D8B-41B7-9628-EDD641D4441E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3d5447790c2a382416895f2effacf1551d84c849","datavalue":{"value":{"entity-type":"item","numeric-id":1302764,"id":"Q1302764"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$FC66B957-06FC-4F9C-B834-4EE23DDC9656","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6f5e6b9ee16f37b689ac73ab045e980ec2017464","datavalue":{"value":{"entity-type":"item","numeric-id":5696353,"id":"Q5696353"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$9FD3B788-B985-4160-B29D-4BEF6F90E495","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f92497e57547c6e54f7d720b180a460227a97d71","datavalue":{"value":{"entity-type":"item","numeric-id":1848834,"id":"Q1848834"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$CB8D42E8-EBEC-4858-81DF-900A1D336873","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5f7ddf3b300196e347eba10d046f5cbe7ef19d4b","datavalue":{"value":{"entity-type":"item","numeric-id":4779827,"id":"Q4779827"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q947260$98D6E45A-A1DD-4265-A256-DDC3B8E993A3","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"e01c94263e594a7c58c2a78fea5dc8cdd135f4b5","datavalue":{"value":"10.1016/J.JSPI.2007.02.014","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q947260$054B7F46-23AF-4172-AB94-8131B8B7A21E","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"02b76075cc4d9e76d79b28a96bee852d80e57ff6","datavalue":{"value":{"entity-type":"item","numeric-id":2740039,"id":"Q2740039"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e19cf7a5919d744022b023221e6fe34f7c77fec7","datavalue":{"value":{"amount":"+0.9401955","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q947260$88511D1A-F93B-49AC-89AE-999C28CE03C8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0c2d3609d891944d01df134ed250850ced0fa660","datavalue":{"value":{"entity-type":"item","numeric-id":4663821,"id":"Q4663821"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b1e0c9dce03f7bc8d1ee72a19a24e523571aec96","datavalue":{"value":{"amount":"+0.91057384","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q947260$B65C55EA-96A6-4E73-8A4B-EE273377B605","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1fb626f58f7c440f7dd3f6dec392e3178b30c981","datavalue":{"value":{"entity-type":"item","numeric-id":1395935,"id":"Q1395935"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"aac2fcf22374908d8da10b5751eaf8bfcce34503","datavalue":{"value":{"amount":"+0.9031448","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q947260$73B92C66-52EF-415A-85B4-1C38754C40C6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"4c6613d42b57cc86721198cdc763a3b4c3296441","datavalue":{"value":{"entity-type":"item","numeric-id":467000,"id":"Q467000"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"184d4b2c5542f10e422cd28c14ae9f63eb016a28","datavalue":{"value":{"amount":"+0.8987401","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q947260$3019DC43-3910-49F9-A029-D7F71478C9C3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ee5927b928514817970798d87125abcbc5ebcfd4","datavalue":{"value":{"entity-type":"item","numeric-id":3646954,"id":"Q3646954"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2ea0e2fe05e0e21cd7cfffcb9c939f6a352ae8f8","datavalue":{"value":{"amount":"+0.89022857","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q947260$E320C65F-313C-42E4-8A8C-4C0C4561461D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7a1838546aa6fea32cdd7ae088d5f369dc34cb3b","datavalue":{"value":{"entity-type":"item","numeric-id":5229423,"id":"Q5229423"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"9f9ed15f585c4d0b009e16cd05e371f03c591cea","datavalue":{"value":{"amount":"+0.8856945","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q947260$031F2BEA-E15D-4400-9C78-F3CA058DADE7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5b4cf6d27f9f9df8d9af6456ab226ba791c13065","datavalue":{"value":{"entity-type":"item","numeric-id":4632277,"id":"Q4632277"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"00b0f66178d45ebca36347bdd75b66c29a860be4","datavalue":{"value":{"amount":"+0.8852736","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q947260$06815A41-7EE1-450F-BDE4-D1AC0A1554C1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b07c52e2ba6fdc426dc4a1b7d57e291ea4f67ea2","datavalue":{"value":{"entity-type":"item","numeric-id":2817307,"id":"Q2817307"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"78c4bdbda4696e927e8025ad686920e2fd50e17f","datavalue":{"value":{"amount":"+0.8841861","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q947260$61FB7ACF-C354-4A2C-9A80-1D9592B99A94","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Distributional analysis of empirical volatility in GARCH processes","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Distributional_analysis_of_empirical_volatility_in_GARCH_processes"}}}}}