Open AccessApplying Generalized Autoregressive Conditional Heteroscedasticity Models to Model Univariate Volatility
Author(s) -
Mohd Aminul Isl
Publication year - 2014
Publication title -
journal of applied sciences
Language(s) - Uncategorized
Resource type - Journals
eISSN - 1812-5662
pISSN - 1812-5654
DOI - 10.3923/jas.2014.641.650
Subject(s) - volatility clustering , econometrics , economics , heteroscedasticity , volatility (finance) , composite index , univariate , autoregressive model , stock market index , stylized fact , autoregressive conditional heteroskedasticity , financial economics , risk premium , conditional variance , stock exchange , stock market , statistics , mathematics , finance , multivariate statistics , context (archaeology) , paleontology , composite indicator , macroeconomics , biology
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