Some statistical results on autoregressive conditionally heteroscedastic models
The aim of this paper is to present some statistical aspects of an order 1 autoregressive model with errors following a stationary and ergodic generalized threshold ARCH process. So, to analyse the precision of forecasts obtained with these models a probabilistic study will be done. Moreover, a cons...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
1998
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| Texto completo: | http://hdl.handle.net/10316/4670 |
| País: | Portugal |
| Oai: | oai:estudogeral.sib.uc.pt:10316/4670 |