Volatility estimation of multivariate ARMA-GARCH model (Q5127660)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7266784
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Volatility estimation of multivariate ARMA-GARCH model |
scientific article; zbMATH DE number 7266784 |
Statements
27 October 2020
0 references
structural autoregressive moving-average
0 references
multivariate GARCH model
0 references
independent component
0 references
causal structure
0 references
volatility
0 references
Volatility Estimation of Multivariate ARMA-GARCH Model (English)
0 references
0.7686425447463989
0 references
0.7656490206718445
0 references
0.753334641456604
0 references
0.7532206177711487
0 references
