Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation (Q3616249)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation |
scientific article |
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Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation (English)
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24 March 2009
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IGARCH effect
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innovation distribution
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Monte Carlo simulations
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volatility forecasting
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weak and strong stationarity
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marginal empirical distributions
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