Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
DOI10.1080/03610910802395653zbMath1161.62053OpenAlexW2079527968WikidataQ57274974 ScholiaQ57274974MaRDI QIDQ3616249
Leonardo Bottolo, Fabio Bellini
Publication date: 24 March 2009
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910802395653
Monte Carlo simulationsvolatility forecastinginnovation distributionIGARCH effectmarginal empirical distributionsweak and strong stationarity
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Monte Carlo methods (65C05)
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