Abstract
As seen in earlier chapters, financial markets data often exhibit volatility clustering, where time series show periods of high volatility and periods of low volatility; see, for example, Figure 18.1. In fact, with economic and financial data, time-varying volatility is more common than constant volatility, and accurate modeling of time-varying volatility is of great importance in financial engineering.
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© 2011 Springer Science+Business Media, LLC
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Ruppert, D. (2011). GARCH Models. In: Statistics and Data Analysis for Financial Engineering. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7787-8_18
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DOI: https://doi.org/10.1007/978-1-4419-7787-8_18
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