Modeling and forecasting of stock index volatility with APARCH models under ordered restriction

DOI10.1111/stan.12062OpenAlexW2110747871MaRDI QIDQ6066209

Xiaoguang Wang, Muhammad Amin, Unnamed Author, Lixin Song

Publication date: 12 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/stan.12062

zbMATH Keywords

maximum likelihood estimatorleverage effectAPARCH \((p)\) modelaugmented Dickey-Fuller (ADF)Phillip-Perron (PP) test

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

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