The application review of GARCH model

The application review of GARCH model

There are some volatility clustering in the time series, especially in the financial time series, from the proposition of ARCH model to the later development and reproduction, it has resolved many such problems in a lot of fields extensive involves: funds, stock prices, futures, crude oil prices, GD...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: Jie Xu, Zhigang Zhang, Lutao Zhao, Dongmei Ai
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Analytical models
CARCH
Econometrics
Economic indicators
GARCH
IGARCH
Mathematical model
Predictive models
Stock markets
TGARCH
Time series analysis
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Beschreibung
Zusammenfassung:There are some volatility clustering in the time series, especially in the financial time series, from the proposition of ARCH model to the later development and reproduction, it has resolved many such problems in a lot of fields extensive involves: funds, stock prices, futures, crude oil prices, GDP, foreign exchange administration in bank, inflation rate, foreign exchange rate, etc. This paper mainly introduces the huge development system of GARCH family and reviews their applications.
DOI:10.1109/ICMT.2011.6002504