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Agent Based Computational Economics Read chapter Read first chapter

2011 | OriginalPaper | Chapter

GARCH Modeling

Author : Christian M. Hafner

Published in: Complex Systems in Finance and Econometrics

Publisher: Springer New York

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Article Outline

Glossary
Definition of the Subject
Introduction
Properties of the GARCH(1,1) Model
Estimation and Inference
Testing for ARCH
Asymmetry, Long Memory, GARCH-in-Mean
Non- and Semi-parametric Models
Multivariate GARCH Models
Stochastic Volatility
Aggregation
Future Directions
Bibliography

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Metadata
Title
GARCH Modeling
Author
Christian M. Hafner
Copyright Year
2011
Publisher
Springer New York
Book
Complex Systems in Finance and Econometrics

Print ISBN: 978-1-4419-7700-7

Electronic ISBN: 978-1-4419-7701-4

Copyright Year: 2011

DOI
https://doi.org/10.1007/978-1-4419-7701-4_26