GARCH-X(1; 1) model allowing a non-linear function of the variance to follow an AR(1) process-Reference-Cited by-同舟云学术

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GARCH-X(1; 1) model allowing a non-linear function of the variance to follow an AR(1) process

Published:2023-03-31 Issue:2 Volume:30 Page:163-178
ISSN:2287-7843
Container-title:Communications for Statistical Applications and Methods
language:en
Short-container-title:Communications for Statistical Applications and Methods

Author:

Nugroho Didit B¹²,Wicaksono Bernadus AA³,Larwuy Lennox³

Affiliation:

1. Master’s Program in Data Science, Universitas Kristen Satya Wacana, Indonesia

2. Study Center for Multidisciplinary Applied Research and Technology, Universitas Kristen Satya Wacana, Indonesia

3. Mathematics Study Program, Universitas Kristen Satya Wacana, Indonesia

Publisher

The Korean Statistical Society

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Finance,Modeling and Simulation,Statistics and Probability

Link

http://pdf.medrang.co.kr/CSAM/2023/030/CSAM030-02-163.pdf

Reference34 articles.

1. A tutorial on adaptive MCMC

2. The Distribution of Realized Exchange Rate Volatility

3. On adaptive Markov chain Monte Carlo algorithms

4. An Analysis of Transformations

5. Forecasting Value-at-Risk under Different Distributional Assumptions

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