Modeling and forecasting of stock index volatility with APARCH models under ordered restriction (Q6066209)
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scientific article; zbMATH DE number 7775883
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling and forecasting of stock index volatility with APARCH models under ordered restriction |
scientific article; zbMATH DE number 7775883 |
Statements
Modeling and forecasting of stock index volatility with APARCH models under ordered restriction (English)
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12 December 2023
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APARCH \((p)\) model
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maximum likelihood estimator
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augmented Dickey-Fuller (ADF)
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leverage effect
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Phillip-Perron (PP) test
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