Practical Issues in the Analysis of Univariate GARCH Models

This paper gives a tour through the empirical analysis of univariate GARCH models for financial time series with stops along the way to discuss various practical issues associated with model specification, estimation, diagnostic evaluation and forecasting.

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Year of publication:	2008-04
Authors:	Zivot, Eric
Institutions:	Department of Economics, University of Washington

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Forthcoming in Handbook of Financial Statistics, Springer-Verlag. Number UWEC-2008-03-FC
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005685353