## Abstract Financial data series are often described as exhibiting two non‐standard time series features. First, variance often changes over time, with alternating phases of high and low volatility. Such behaviour is well captured by ARCH models. Second, long memory may cause a slower decay of the
ARCH–GARCH approaches to modeling high-frequency financial data
✍ Scribed by Boris Podobnik; Plamen Ch. Ivanov; Ivo Grosse; Kaushik Matia; H. Eugene Stanley
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 196 KB
- Volume
- 344
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
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