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Coupled GARCH(1,1) model - MaRDI portal

Coupled GARCH(1,1) model (Q6158437)

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scientific article; zbMATH DE number 7698409
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English
Coupled GARCH(1,1) model
scientific article; zbMATH DE number 7698409

    Statements

    title
    Coupled GARCH(1,1) model (English)
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    author
    Q6158436
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    Henri Waelbroeck
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    publication date
    20 June 2023
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    zbMATH Keywords
    volatility forecasting
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    GARCH model
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    implied volatility
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    realized volatility
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    62P05
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    62M10
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    zbMATH DE Number
    7698409
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    OpenAlex ID
    W4323353807
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