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Key terms: math q z model epsilon garch sigma alpha sum hat beta errors engle lag cdots value log mean terms t z variance omega theta estimate returns residuals garch model econometrics lambda length time series periods squares applied journal volatility analysis robert f negative positive heteroskedasticity nonlinear null hypothesis specification integrated asymmetric garch errors autoregressive conditional conditional variance generalized autoregressive conditional heteroskedasticity Search external links cited by footnotes on Wikipedia page Autoregressive conditional heteroskedasticity: |
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