Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation

Communications in Statistics: Simulation and Computation

Volumn 38, Issue 1, 2008, Pages 31-45

  Bellini, Fabio ^a   Bottolo, Leonardo ^b  

^a UNIVERSITY OF MILANO BICOCCA   (Italy)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

IGARCH effect; Innovation distribution; Monte Carlo simulations; Volatility forecasting; Weak and strong stationarity

Indexed keywords

INTELLIGENT SYSTEMS;

GARCH (1 ,1); IGARCH EFFECT; MISSPECIFICATION; PARAMETER SPACES; STATIONARITY; STRONG STATIONARITY; VOLATILITY FORECASTING;

MONTE CARLO METHODS;

EID: 55449099617     PISSN: 03610918     EISSN: 15324141     Source Type: Journal    
DOI: 10.1080/03610910802395653     Document Type: Article

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