A stochastic variance model for absolute returns

DOI10.1016/0165-1765(94)00471-4zbMath0875.90202OpenAlexW2019970861MaRDI QIDQ5894558

Fabio Fornari, Antonio Mele

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00471-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (1)

Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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