Prediction in ARMA Models with GARCH in Mean Effects

DOI10.1111/1467-9892.00241zbMath0979.62073OpenAlexW2082591001MaRDI QIDQ2759338

Menelaos Karanasos

Publication date: 12 December 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00241

zbMATH Keywords

predictionARMA modelsmoving averageGARCH in mean effectsoptimal multi-step predictor

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (4)

On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ Time-varying coefficient models with ARMA–GARCH structures for longitudinal data analysis ⋮ Moments of the ARMA–EGARCH model

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