The GARCH stochastic volatility model

DOI10.1016/J.SPL.2024.110185MaRDI QIDQ6606004zbMATH OpenFDO

Authors Hafida Guerbyenne, Fayçal Hamdi, Malika Hamrat

Publication date 16 September 2024

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

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110185

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

• scientific article; zbMATH DE number 5919872 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 1522717 (Why is no real title available?)
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• GARCH models. Structure, statistical inference and financial applications
• Markov chain Monte Carlo methods for stochastic volatility models.
• Multivariate Stochastic Variance Models
• On periodic autoregressive stochastic volatility models: structure and estimation
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood

Cited in

(1)

• Bilinear log-GARCH model

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