Modelling Volatility of BSE Realty Index using Conditional Heteroscedasticity Models
نویسندگان
چکیده
منابع مشابه
Conditional Heteroscedasticity and Garch Models
a for forecasting purposes arises from the fact that this conditional mean is allowed to be a random varible which depends on the available data, and evolves with time. The conditional variance, however, is r simply var [x e x ] = var [ε ] =σ , which remains constant regardless of the given data. Thus, the linea t t −1 t ε AR (1) model fails to adequately describe the conditional variance. In p...
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ژورنال
عنوان ژورنال: MANTHAN: Journal of Commerce and Management
سال: 2018
ISSN: 2347-4440
DOI: 10.17492/manthan.v4i02.11462