Haas, Markus - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 2, pp. 1411-1411
The goal of this paper is to illuminate the capability of the component GARCH model of Ding and Granger (1996) and … (ACF) of the component GARCH model. We also elucidate why even higher-order GARCH models with Bollerslev's (1986 … computing the theoretical ACF of GARCH models is suggested, which is easier to use than the formulas developed so far, and …