TY - GEN
T1 - The application review of GARCH model
AU - Xu, Jie
AU - Zhang, Zhigang
AU - Zhao, Lutao
AU - Ai, Dongmei
PY - 2011
Y1 - 2011
N2 - 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.
AB - 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.
KW - CARCH
KW - GARCH
KW - IGARCH
KW - TGARCH
UR - http://www.scopus.com/inward/record.url?scp=80052943702&partnerID=8YFLogxK
U2 - 10.1109/ICMT.2011.6002504
DO - 10.1109/ICMT.2011.6002504
M3 - Conference contribution
AN - SCOPUS:80052943702
SN - 9781612847740
T3 - 2011 International Conference on Multimedia Technology, ICMT 2011
SP - 2658
EP - 2662
BT - 2011 International Conference on Multimedia Technology, ICMT 2011
T2 - 2nd International Conference on Multimedia Technology, ICMT 2011
Y2 - 26 July 2011 through 28 July 2011
ER -