Open AccessVolatility estimation using a rational GARCH model
Author(s) -
Tetsuya Takaishi
Publication year - 2018
Publication title -
quantitative finance and economics
Language(s) - Uncategorized
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2018.1.127
Subject(s) - autoregressive conditional heteroskedasticity , econometrics , volatility (finance) , financial models with long tailed distributions and volatility clustering , forward volatility , stochastic volatility , implied volatility , outlier , economics , sabr volatility model , mathematics , statistics