Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - 2005
volatility series exhibit non–Gaussianity
and conditional heteroskedasticity features that have been neglected in the current …. Furthermore, to model
time–dependent conditional heteroskedasticity we also specify a generalized autoregressive
conditional … exhibit volatil-
ity clustering. In both cases, ARCH–LM tests indicate strong autoregressive conditional
heteroskedasticity …