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Practical Issues in the Analysis of Univariate GARCH Models

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

Working Papers from University of Washington, Department of Economics

Abstract: This paper 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.

Date: 2008-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Citations: View citations in EconPapers (18)

Forthcoming in Handbook of Financial Statistics, Springer-Verlag.

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