Indonesian Stock Market Volatility: GARCH Model
نویسندگان
چکیده
منابع مشابه
Analysis of Stock Market Volatility by Continuous-time GARCH Models
The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Klüppelberg, Lindner, andMaller (2004) introduced the so-called “COGARCH”model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to...
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ژورنال
عنوان ژورنال: Montenegrin Journal of Economics
سال: 2020
ISSN: 1800-5845,1800-6698
DOI: 10.14254/1800-5845/2020.16-2.1