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Volatile ARMA modelling of GARCH squares
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Lawrance, Anthony J. (2010) Volatile ARMA modelling of GARCH squares. Central European Journal of Economic Modelling and Econometrics, Vol.2 (No.3). pp. 195-203. ISSN 2080-0886.
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Abstract
This paper points out that the ARMA models followed by GARCH squares are volatile and gives explicit and general forms of their dependent and volatile innovations. The volatility function of the ARMA innovations is shown to be the square of the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and predictive intervals are considered. Further, the developments suggest families of volatile ARMA processes.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Central European Journal of Economic Modelling and Econometrics | ||||
Publisher: | Polish Academy of Sciencies - Lodz Branch | ||||
ISSN: | 2080-0886 | ||||
Official Date: | 2010 | ||||
Dates: |
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Volume: | Vol.2 | ||||
Number: | No.3 | ||||
Page Range: | pp. 195-203 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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