A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function (Q2138226)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function |
scientific article |
Statements
A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function (English)
0 references
11 May 2022
0 references
forecasting
0 references
GJR-GARCH(1, 1)
0 references
Markov regime-switching
0 references
asymmetry
0 references
cumulative impulse response
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
