GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
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چکیده
منابع مشابه
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
he great workhorse of applied econometrics is the least squares model. This is a natural choice, because applied econometricians are typically called upon to determine how much one variable will change in response to a change in some other variable. Increasingly however, econometricians are being asked to forecast and analyze the size of the errors of the model. In this case, the questions are ...
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Volatility is a key parameter used in many financial applications, from derivatives valuation to asset management and risk management. Volatility measures the size of the errors made in modeling returns and other financial variables. It was discovered that, for vast classes of models, the average size of volatility is not constant but changes with time and is predictable. Autoregressive conditi...
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ژورنال
عنوان ژورنال: Journal of Economic Perspectives
سال: 2001
ISSN: 0895-3309
DOI: 10.1257/jep.15.4.157