VG NGARCH Versus GARJI Model for Asset Price Dynamics

DOI10.1142/9789811202391_0070zbMath1451.91207OpenAlexW3081390231MaRDI QIDQ5139498

Cheng-Few Lee, Lie-Jane Kao

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0070

zbMATH Keywords

goodness of fitshape parametervariance-gamma process\textit{ex ante} probabilityGARCH-jumpGARJI modelVG NGARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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