I would like to use GARCH(1,1) to simulate $n$ samples. I really need to understand it deeply, so are there any good book or tutorials that can help?
$\begingroup$
$\endgroup$
3
-
$\begingroup$ There are two very different questions in your post; I would advise posting them separately. But please review the existing threads before you proceed. You might very well find your questions have already been answered there. $\endgroup$– Richard HardyCommented Oct 11, 2016 at 18:23
-
$\begingroup$ See Books for self-studying time series analysis?. $\endgroup$– Richard HardyCommented Oct 11, 2016 at 20:08
-
$\begingroup$ "Books on Bayesian inferential analysis of GARCH models" is a related thread. $\endgroup$– Richard HardyCommented Apr 10, 2021 at 19:37
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
1
Rather comprehensive and advanced:
- Francq, Christian, and Jean-Michel Zakoian. GARCH Models: Structure, Statistical Inference and Financial Applications. John Wiley & Sons, 2010.
There is a second edition from 2019.
-
1$\begingroup$ I have flagged the question for turning it into Community Wiki, and I suggest one reference per answer. $\endgroup$ Commented Mar 17, 2017 at 14:12