Title

Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2009

Numer

No 3

Authors

Triacca, Umberto

Keywords

GARCH Models ; returns ; time series ; volatility persistence

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

285-291

Publisher

Oddział PAN w Łodzi

Date

30.09.2009

Type

Artykuły / Articles

Identifier

ISSN - 2080-0886, ISSN online - 2080-119X

DOI

10.24425/cejeme.2009.122236