The ZD-GARCH model: a new way to study heteroscedasticity (Q1680184)
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scientific article; zbMATH DE number 6811560
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| English | The ZD-GARCH model: a new way to study heteroscedasticity |
scientific article; zbMATH DE number 6811560 |
Statements
The ZD-GARCH model: a new way to study heteroscedasticity (English)
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23 November 2017
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conditional heteroscedasticity
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GARCH model
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generalized quasi-maximum likelihood estimator
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heteroscedasticity
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Portmanteau test
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stability test
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top Lyapunov exponent
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zero-drift GARCH model
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asymptotic normality
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0.7720979452133179
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0.7522916197776794
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0.7520708441734314
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0.7483761310577393
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0.7483639121055603
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