times series

garch() uncertainty

May 16, 2012 | xi'an

As part of an on-going paper with Kerrie Mengersen and Pierre Pudlo, we are using a GARCH(1,1) model as a target. Thus, the model is of the form which is a somehow puzzling object: the latent (variance) part is deterministic and can be reconstructed exactly given the series and the ... [Read more...]

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