Šestović, Dragan - In: Ekonomski pregled 49 (1998) 4, pp. 292-303
were developed which take this effect into account. In this paper we study one particular member of GARCH family of models … that successfuly describe heteroskedasticity, i.e. GARCH (1,1) model. We show the significance of the model parameters, and … case of IGARCH model (Integrated GARCH). Using the maximum likelihood method we calculate the model parameters for Pliva …