A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE (Q5229423)
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scientific article; zbMATH DE number 7094506
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| English | A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE |
scientific article; zbMATH DE number 7094506 |
Statements
A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE (English)
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15 August 2019
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convergence in distribution
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IGARCH model
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statistical test
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stochastic integrals
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volatility persistence
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0.9130834
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0.89768517
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0.8914312
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0.8904731
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0.8856945
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