Tree-structured generalized autoregressive conditional heteroscedastic models

DOI10.1111/1467-9868.00309MaRDI QIDQ2773205zbMATH OpenOpenAlexFDO

Authors Francesco Audrino, Peter Bühlmann

Publication date 10 June 2002

Published in Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9868.00309

zbMATH Keywords

conditional variancefinancial time seriesgeneralized autoregressive conditional heteroscedastic modelmaximum likelihoodthreshold modeltree modelvolatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(18)

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• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
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• Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
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• A forecasting model for stock market diversity
• Predicting the volatility of bitcoin returns based on kernel regression
• The impact of general non-parametric volatility functions in multivariate GARCH models
• Boosting GARCH and neural networks for the prediction of heteroskedastic time series

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