The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, ...
This paper develops an empirical likelihood approach for regular generalized autoregressive conditional heteroskedasticity (GARCH) models and GARCH models with unit roots. For regular GARCH models, it ...
Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...
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