Stable GARCH models for financial time series
نویسندگان
چکیده
منابع مشابه
Volatility Forecasts in Financial Time Series with HMM-GARCH Models
Nowadays many researchers use GARCH models to generate volatility forecasts. However, it is well known that volatility persistence, as indicated by the sum of the two parameters G1 and A1[1], in GARCH models is usually too high. Since volatility forecasts in GARCH models are based on these two parameters, this may lead to poor volatility forecasts. It has long been argued that this high persist...
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ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 1995
ISSN: 0893-9659
DOI: 10.1016/0893-9659(95)00063-v