Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation (Q3616249)
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scientific article; zbMATH DE number 5532391
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| English | Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation |
scientific article; zbMATH DE number 5532391 |
Statements
Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation (English)
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24 March 2009
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IGARCH effect
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innovation distribution
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Monte Carlo simulations
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volatility forecasting
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weak and strong stationarity
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marginal empirical distributions
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0.7834377884864807
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0.7808406352996826
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0.7681523561477661
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0.7654950022697449
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0.7553737163543701
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