Practical Issues in the Analysis of Univariate GARCH Models
This paper gives a tour through the empirical analysis of univariate GARCH models for financial time series with stops along the way to discuss various practical issues associated with model specification, estimation, diagnostic evaluation and forecasting.
|Date of creation:||Apr 2008|
|Date of revision:|
|Publication status:||Forthcoming in Handbook of Financial Statistics, Springer-Verlag.|
|Contact details of provider:|| Postal: Box 353330, Seattle, WA 98193-3330|
Web page: http://www.econ.washington.edu/
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