Neglecting parameter changes in GARCH models (Q265108)
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scientific article; zbMATH DE number 6562076
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| English | Neglecting parameter changes in GARCH models |
scientific article; zbMATH DE number 6562076 |
Statements
Neglecting parameter changes in GARCH models (English)
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1 April 2016
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GARCH
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volatility persistence
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spurious estimation
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spurious unit root
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spurious long memory
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0.8086704611778259
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0.8023067712783813
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0.7776058912277222
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0.7755316495895386
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0.7752003073692322
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