Modeling daily return volatility through GJR(1,1) model and realized volatility measure

MaRDI QIDQ6594122zbMATH OpenFDO

Authors Didit Budi Nugroho, Handoko Wibowo, Asido Saragih

Publication date 28 August 2024

Published in Thailand Statistician (Search for Journal in Brave)

zbMATH Keywords

ARWMExcel's Solver's GRG Non-LinearGJR modelrealized kernelstudent-\(t\) distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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