Random coefficient GARCH models

DOI10.1016/j.mcm.2004.02.032zbMath1079.62088MaRDI QIDQ814261

N. E. Zubov

Publication date: 6 February 2006

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2004.02.032

zbMATH Keywords

GARCH; Kurtosis; Power GARCH and general GARCH(1,1) models; Stochastic volatility

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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