Media Summary: Models for financial volatility; the ARCH and GARCH models; stochastic volatility models. Likelihood inference for the leverage model; using GARCH as a benchmark; an appendix deriving an SMC algorithm for a pefectly ... Teaching materials: Topics: Autocorrelation, ...
Time Series Analysis Chapter 16 - Detailed Analysis & Overview
Models for financial volatility; the ARCH and GARCH models; stochastic volatility models. Likelihood inference for the leverage model; using GARCH as a benchmark; an appendix deriving an SMC algorithm for a pefectly ... Teaching materials: Topics: Autocorrelation, ...
