Analysis of Financial Time Series with EViews
نویسنده
چکیده
4 GARCH Models 7 4.1 Basic GARCH Specifications . . . . . . . . . . . . . . . . . . . 8 4.2 Diagnostic Checking . . . . . . . . . . . . . . . . . . . . . . . 11 4.3 Regressors in the Variance Equation . . . . . . . . . . . . . . . 12 4.4 The GARCH–M Model . . . . . . . . . . . . . . . . . . . . . . 12 4.5 The Threshold GARCH (TARCH) Model . . . . . . . . . . . . 12 4.6 The Exponential GARCH (EGARCH) Model . . . . . . . . . 13 4.7 The Power ARCH (PARCH) Model . . . . . . . . . . . . . . . 13 4.8 The Component GARCH (CGARCH) Model . . . . . . . . . . 13
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