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

Publisher

Oddział PAN w Łodzi

Identifier

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

DOI

10.24425/cejeme.2009.122236