Open AccessNonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows
Author(s) -
Luke De Clerk,
Sergey Savel’ev
Publication year - 2022
Publication title -
journal of probability and statistics
Language(s) - English
Resource type - Journals
eISSN - 1687-9538
pISSN - 1687-952X
DOI - 10.1155/2022/4170866
Subject(s) - autoregressive conditional heteroskedasticity , heteroscedasticity , econometrics , mathematics , autoregressive model , conditional probability distribution , moment (physics) , series (stratigraphy) , gaussian , conditional variance , distribution (mathematics) , heavy tailed distribution , time series , finance , volatility (finance) , statistics , economics , mathematical analysis , paleontology , physics , classical mechanics , quantum mechanics , biology
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