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Results tagged with garch
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user 48309
A model for time series in which the conditional variance is time-varying and autocorrelated.
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Multivariate GARCH with respect to Value at Risk
For the last few weeks I studied GARCH with respect to individual assets. Now I want to combine assets and execute a multivariate (DCC) GARCH test. … I have a multivariate DCC student t-distribution GARCH which gives me the conditional variance for day t+1. …
