Module 3 GARCH Models
Module 3 GARCH Models. References The classics: • Engle, R.F. (1982), Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K, Econometrica. • Bollerslev, T.P. (1986), Generalized Autoregresive Conditional Heteroscedasticity, Journal of Econometrics.
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