Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR

Muhammad Irfan, Maria Irfan, Muhammad Awais

Year of publication:	December 2010
Authors:	Irfan, Mohammad ; Irfan, Maria ; Awais, Muhammad
Subject:	KIBOR \| GARCH \| EGARCH \| Volatility Modelling \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Zins \| Interest rate \| Schätztheorie \| Estimation theory \| Zinsstruktur \| Yield curve \| Heteroskedastizität \| Heteroscedasticity \| Stochastischer Prozess \| Stochastic process

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