✦ LIBER ✦

Nonformal specification of stochastic models for hydrological processes

Book ID: 123119571
Publisher: Elsevier Science
Year: 1986
Weight: 45 KB
Volume: 33
Category: Article
ISSN: 0198-0254
DOI: 10.1016/0198-0254(86)94236-6

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## Abstract A number of studies investigate whether various stochastic variables explain changes in return volatility by specifying the variables as covariates in a GARCH(1, 1) or EGARCH(1, 1) model. The authors show that these models impose an implicit constraint that can obscure the true role of