Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market
The component GARCH model (CGARCH) was among the first attempts to split the conditional variance into a permanent and transitory component. With the application to economic and finance data, it helps investigate the long- and short-run movements of volatility affecting securities. Like all GARCH-ty...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-06-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/11/1903 |