A robust closed-form estimator for the GARCH(1,1) model (Q5222426)
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scientific article; zbMATH DE number 7184689
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| English | A robust closed-form estimator for the GARCH(1,1) model |
scientific article; zbMATH DE number 7184689 |
Statements
A robust closed-form estimator for the GARCH(1,1) model (English)
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1 April 2020
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additive outliers
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autocorrelations
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robustness
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value-at-risk
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volatility forecasting
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0.8714170455932617
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0.8336776494979858
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0.8214931488037109
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0.8076766133308411
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0.8068437576293945
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