Abstract
The generalized ARCH or GARCH model (Bollerslev, 1986) is quite popular as a basis for analyzing the risk of financial investments. Examples are the estimation of value-at-risk (VaR) or the expected shortfall from a time series of log returns. In practice, a GARCH process of order (1,1) often provides a reasonable description of the data. In the following, we restrict ourselves to that case.
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Franke, J., Holzberger, H., Müller, M. (2002). Nonparametric Estimators of GARCH Processes. In: Applied Quantitative Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-05021-7_17
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DOI: https://doi.org/10.1007/978-3-662-05021-7_17
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-43460-3
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