- Tytuł:
- Volatile ARMA Modelling of GARCH Squares
- Autorzy:
- Lawrance, Anthony J.
- Powiązania:
- https://bibliotekanauki.pl/articles/483293.pdf
- Data publikacji:
- 2010
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
ARCH
ARMA
GARCH
prediction
time series
volatility - Opis:
- This paper points out that the ARMA models followed by GARCH squares are volatile and gives explicit and general forms of their dependent and volatile innovations. The volatility function of the ARMA innovations is shown to be the square of the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and predictive intervals are considered. Further, the developments suggest families of volatile ARMA processes.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2010, 2, 3; 195-203
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł