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

MaRDI QIDQ3376014zbMATH OpenFDO

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

Publication date 17 March 2006

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)

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• Stochastic volatility models including open, close, high and low prices

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