A GARCH(1,1) Model Approach for Control Limits on Volatility
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چکیده
The generalized autoregressive conditional heteroscedasticity (GARCH) approach is one of the common and simpler ways to use historical data to produce estimates of current and future levels of volatilities. This model recognizes that volatilities are not constant, for instance, a particular volatility may be high or low depending on the period of time. One of goals of a GARCH model is to track the variations in the volatility through time.
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