The GARCH stochastic volatility model

DOI10.1016/J.SPL.2024.110185MaRDI QIDQ6606004FDOQ6606004

Authors: Hafida Guerbyenne, Fayçal Hamdi, Malika Hamrat 

Publication date: 16 September 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

stationarityEM algorithmparticle filteringstochastic volatility modelhigher-order moments\(\log\) GARCH model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

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• Markov chain Monte Carlo methods for stochastic volatility models.
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• Multivariate Stochastic Variance Models
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• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• GARCH Models
• On periodic autoregressive stochastic volatility models: structure and estimation

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