Search results for "Processus ARCH GARCH"

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Les modèles de classe ARC

1993

The aim of this document is a presentation of the Arch process which allows a new and powerful technic for modelling behaviour on financial markets. From the seminal paper of ENGLE (1982), numerous extensions were proposed to adapt this specification of the Arch process to particular situations. These models are presented here, with adapted estimation methods and some appropriate tests.

MathématiquesStatisticsProcessus ARCH GARCH[ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST]Operations research[MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]Mathematics
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