A New Method To Estimate Stochastic Volatility Models A Log Garch Approach
Work
Year: 1998
Type: article
Abstract: Changes in asset return variance or volatility over time may be modeled using the GARCH class models or stochastic volatility (SV) models. The log-GARCH models are the logarithmic extension of the GAR... more
Author Manabu Asai
Institution University of Tsukuba
Cites: 30
Cited by: 4
Related to: 10
FWCI: 0.381
Citation percentile (by year/subfield): 63.27
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze