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: |
Web page: http://www.econ.washington.edu/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:udb:wpaper:uwec-2008-03-fc. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael Goldblatt)
If references are entirely missing, you can add them using this form.