- Tytuł:
- Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models
- Autorzy:
- Triacca, Umberto
- Powiązania:
- https://bibliotekanauki.pl/articles/483247.pdf
- Data publikacji:
- 2009
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
GARCH Models
returns
time series
volatility persistence - Opis:
- Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2009, 1, 3; 285-291
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł