شماره ركورد كنفرانس :
4109
عنوان مقاله :
A review on stationarity condition of GARCH model
پديدآورندگان :
Hashemi M Department of Statistics, Khansar Faculty of Mathematics and Computer Science, Khansar, Iran , Zamani A Department of Statistics, Faculty of Science, Shiraz University, Shiraz, Iran
كليدواژه :
ARCH model , GARCH model , Stationary
عنوان كنفرانس :
يازدهمين سمينار ملي احتمال و فرآيندهاي تصادفي
چكيده فارسي :
Among various models, which are of great importance in the analysis of time series data, ARCH and GARCH models attract the attention of researchers in financial data analysis. In traditional time series analysis, the focus is on modeling the conditional first moment. However, ARCH and GARCH models consider the dependency of the conditional second moments. In this paper, we are going to study the theory of stationarity of GARCH models in univariate, multivariate and functional concepts
