Open AccessComparison of the GARCH and stochastic models: An application to the Mexican peso-us dollar exchange rate
Author(s) -
Ezequiel AvilésOchoa,
Martha Margarita Flores Sosa
Publication year - 2020
Publication title -
contaduría y administración
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.236
H-Index - 12
eISSN - 2448-8410
pISSN - 0186-1042
DOI - 10.22201/fca.24488410e.2021.2642
Subject(s) - autoregressive conditional heteroskedasticity , markov chain monte carlo , econometrics , stochastic volatility , volatility (finance) , economics , autoregressive model , heteroscedasticity , exchange rate , financial models with long tailed distributions and volatility clustering , bayesian probability , forward volatility , statistics , mathematics , finance
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