BROZE, Laurence; MELARD, Guy; SCAILLET, Olivier - Center for Operations Research and Econometrics (CORE), … - 1994
Exponential smoothing (ES) with ARCH (autoregressive conditionally heteroscedastic) and GARCH (generalized ARCH) errors are introduced. This is done for a large class of ES methods, those for which the forecasts are obtained using a set of additive updating formulas, and also those for which an...
