A modified GARCH model with spells of shocks

DOI10.1007/s10690-006-9011-zzbMath1155.91390OpenAlexW2127895792MaRDI QIDQ853870

Kimio Morimune, Qingfeng Liu

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10252/3331

zbMATH Keywords

stock marketvolatilityGARCH modelspells of positive or negative shocks

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items

A new estimator method for GARCH models

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