Fractionally integrated time varying GARCH model (Q257572)
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scientific article; zbMATH DE number 6557253
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Fractionally integrated time varying GARCH model |
scientific article; zbMATH DE number 6557253 |
Statements
Fractionally integrated time varying GARCH model (English)
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17 March 2016
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modeling volatility
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long memory
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structural changes
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model specification
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0.8670415282249451
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0.8406451344490051
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0.838269829750061
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0.8104429244995117
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0.8051936030387878
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