Generalized autoregressive conditional heteroskedasticity
نویسندگان
چکیده
منابع مشابه
Generalized Autoregressive Conditional Heteroskedasticity
A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an e...
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where $‘s inre r*onst,ant matricaes; detI{@(z)} = 11 @,x . w * $JP[ = 0 has ci 5 771, urrit roots and ‘I’ = 711 d roots omside the urrit, circle: tPt = ((1 it, 7 c+> is a sequcnce of independent1 and idcntically distlributled (i.i.tl) matrices with mean zero and nonnegativc covarianc~e IC[ /le+&) ~f’(&)] = 0; pit is an i.i.d ramlom vector witIh mean zero and positive covariance E ( etef j = CA ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1986
ISSN: 0304-4076
DOI: 10.1016/0304-4076(86)90063-1