Generalized autoregressive moving average models with GARCH errors

DOI10.1111/jtsa.12602zbMath1493.62543arXiv2105.05532OpenAlexW3162542418MaRDI QIDQ5030955

Tingguo Zheng, Rong Chen, Han Xiao

Publication date: 18 February 2022

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

Full work available at URL: https://arxiv.org/abs/2105.05532

zbMATH Keywords

stock returnsrealized volatilitynon-negative time seriesgeneralized ARMA modelGARMA-GARCH modelproportional time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

On an independent-switching periodic autoregressive conditional duration ⋮ Optimal estimating function for weak location‐scale dynamic models

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