NIG-GARCH models based on open, close, high and low prices

zbMATH Open1082.62105MaRDI QIDQ3376014FDOQ3376014

Authors: J. H. Venter, P. J. de Jongh, G. Griebenow 

Publication date: 17 March 2006

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zbMATH Keywords

volatilitynormal inverse Gaussian distributionfinancial return

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• GARCH estimation and discrete stock prices: an application to low-priced Australian stocks
• VG NGARCH versus GARJI model for asset price dynamics
• Stochastic volatility models including open, close, high and low prices

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