GARCH Models (Q5222822)
From MaRDI portal
scientific article; zbMATH DE number 7076457
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GARCH Models |
scientific article; zbMATH DE number 7076457 |
Statements
GARCH Models (English)
0 references
3 July 2019
0 references
statistical inference
0 references
conditionally heteroscedastic model
0 references
financial return
0 references
GARCH model
0 references
univariate model
0 references
multivariate model
0 references
discrete time model
0 references
continuous time model
0 references
exponential GARCH model
0 references
threshold GARCH model
0 references
asymmetric GARCH model
0 references
stationarity
0 references
whiteness
0 references
option pricing
0 references
Value at Risk
0 references
parameter-driven volatility
0 references
stochastic volatility
0 references
Markov switching volatility
0 references
