Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.

DOI10.1007/s10986-005-0015-6zbMath1125.62334MaRDI QIDQ2487861

A. Klivečka

Publication date: 9 August 2005

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-005-0015-6

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

On the ARCH model with random coefficients

Cites Work

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