RCA model with quadratic GARCH innovation distribution (Q452958)
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scientific article; zbMATH DE number 6083651
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | RCA model with quadratic GARCH innovation distribution |
scientific article; zbMATH DE number 6083651 |
Statements
RCA model with quadratic GARCH innovation distribution (English)
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18 September 2012
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fat tailed innovation distribution
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GARCH model
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kurtosis
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random coefficient autoregressive model
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variance
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0.8763209
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0.87600803
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0.85900027
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0.85573065
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0.8546345
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0.8491623
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0.8443421
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0.84356284
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