Modelling stock returns with AR-GARCH processes

MaRDI QIDQ3645220zbMATH OpenFDO

Authors Mariusz Gąsowski, Elżbieta Z. Ferenstein

Publication date 16 November 2009

Full work available at URL https://eudml.org/doc/40452, http://www.idescat.cat/sort/artpublished.html

zbMATH Keywords

autoregressive processconditional heteroscedastic variancefinancial log returnsGARCH and EGARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Recommendations

• A note on GARCH model identification
• Stable GARCH models for financial time series
• On modeling the volatility of Nigerian stock returns using GARCH models
• On the distributional properties of GARCH processes
• scientific article; zbMATH DE number 5211919

Cited in

(10)

• On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
• ARIMA modeling of event induced stock price reactions in Austria.
• Modeling record-breaking stock prices
• Models for stock returns
• Digital currencies: a multivariate GARCH approach
• Financial returns modelled by the product of two stochastic processes -- a study of daily sugar prices, 1961--79
• Improved local polynomial estimation in time series regression
• On modeling the volatility of Nigerian stock returns using GARCH models
• Returns of Eastern European financial markets: ARMA, GARCH modeling -stable distribu\-tions
• A note on GARCH model identification

This page was built for publication: Modelling stock returns with AR-GARCH processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3645220)