Practical Issues in the Analysis of Univariate GARCH Models

Eric Zivot ()
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Eric Zivot: University of Washington, Department of Economics

Chapter 5 in Handbook of Financial Time Series, 2009, pp 113-155 from Springer

Abstract: Abstract This chapter gives a tour through the empirical analysis of univariate GARCH models for financial time series with stops along the way to discuss various practical issues associated with model specification, estimation, diagnostic evaluation and forecasting.

Keywords: Bayesian Information Criterion; GARCH Model; Daily Return; Monthly Return; Financial Time Series (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-540-71297-8_5

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