GARCH models and distributions comparison for nonlinear time series with volatilities
The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is extensively used for handling volatilities. However, with numerous extensions to the standard GARCH model, selecting the most suitable model for forecasting price volatilities becomes challenging. This study aims to exam...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
UTM Press
2023
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/42168/1/2023%20GARCH%20Modelsand%20DistributionsComparison%20for%20Nonlinear%20Time%20Series%20with%20Volatilities.pdf http://umpir.ump.edu.my/id/eprint/42168/ https://doi.org/10.11113/mjfas.v19n6.3101 |
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