The second moment and the autocovariance function of the squared errors of the GARCH model
- 31 May 1999
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 90 (1) , 63-76
- https://doi.org/10.1016/s0304-4076(98)00032-3
Abstract
No abstract availableKeywords
All Related Versions
This publication has 4 references indexed in Scilit:
- Modeling volatility persistence of speculative returns: A new approachJournal of Econometrics, 1996
- A long memory property of stock market returns and a new modelJournal of Empirical Finance, 1993
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982