This article presents a survey of the developments of univariate GARCH models. ARCH, GARCH, EGARCH and other possible nonlinear extensions are examined. Conditions for stationarity (weak and strong) are presented. Inference and test-ing is presented in the quasi-maximum likelihood framework. Continuous GARCH approximations are presented and discussed.
Univariate GARCH models: A survey
ROSSI, EDUARDO
2010-01-01
Abstract
This article presents a survey of the developments of univariate GARCH models. ARCH, GARCH, EGARCH and other possible nonlinear extensions are examined. Conditions for stationarity (weak and strong) are presented. Inference and test-ing is presented in the quasi-maximum likelihood framework. Continuous GARCH approximations are presented and discussed.File in questo prodotto:
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