Abstract
There are some volatility clustering in the time series, especially in the financial time series, from the proposition of ARCH model to the later development and reproduction, it has resolved many such problems in a lot of fields extensive involves: funds, stock prices, futures, crude oil prices, GDP, foreign exchange administration in bank, inflation rate, foreign exchange rate, etc. This paper mainly introduces the huge development system of GARCH family and reviews their applications.
| Original language | English |
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| Title of host publication | 2011 International Conference on Multimedia Technology, ICMT 2011 |
| Pages | 2658-2662 |
| Number of pages | 5 |
| DOIs | |
| Publication status | Published - 2011 |
| Externally published | Yes |
| Event | 2nd International Conference on Multimedia Technology, ICMT 2011 - Hangzhou, China Duration: 26 Jul 2011 → 28 Jul 2011 |
Publication series
| Name | 2011 International Conference on Multimedia Technology, ICMT 2011 |
|---|
Conference
| Conference | 2nd International Conference on Multimedia Technology, ICMT 2011 |
|---|---|
| Country/Territory | China |
| City | Hangzhou |
| Period | 26/07/11 → 28/07/11 |
Keywords
- CARCH
- GARCH
- IGARCH
- TGARCH
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Xu, J., Zhang, Z., Zhao, L., & Ai, D. (2011). The application review of GARCH model. In 2011 International Conference on Multimedia Technology, ICMT 2011 (pp. 2658-2662). Article 6002504 (2011 International Conference on Multimedia Technology, ICMT 2011). https://doi.org/10.1109/ICMT.2011.6002504