ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models

DOI10.1007/978-3-030-54108-8_12MaRDI QIDQ5049438zbMATH OpenOpenAlexFDO

Authors Lokman Kantar

Publication date 11 November 2022

Published in Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-54108-8_12

zbMATH Keywords

ARCHEGARCHexchange rateGARCHTGARCHvolatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Volatility persistence and switching ARCH in Japanese stock returns

Cited in

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• Markov switching generalized autoregressive conditional heteroskedasticity (MSGARCH) model based on large deviation principle

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