The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean (Q1293814)
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scientific article; zbMATH DE number 1310302
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| English | The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean |
scientific article; zbMATH DE number 1310302 |
Statements
The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean (English)
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16 August 1999
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Generalized autoregressive conditional heteroskedasticity (GARCH)
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Feynman Kac integral
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Ito process
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Conditional variance
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Transition probability
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0.8381145596504211
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0.8213104605674744
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0.8099737763404846
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0.7862627506256104
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0.7861016988754272
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