Level changes in volatility models (Q470520)
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scientific article; zbMATH DE number 6368838
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Level changes in volatility models |
scientific article; zbMATH DE number 6368838 |
Statements
Level changes in volatility models (English)
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12 November 2014
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level shifts
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stochastic volatility
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persistence
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realized volatility
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HAR-RV
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ARMA
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VAR
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GARCH
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0.7997344732284546
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0.7897527813911438
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0.7708567976951599
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0.7656330466270447
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0.7616226077079773
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