GARCH models with jumps
Consideration of the GARCH model with jumps. Model GARCH-Jump, supplemented by the intensity of the news, the obtained empirical results. Changes of the intensity of the jump with time, its linear dependence on the number of positive and negative news.
| Рубрика | Экономика и экономическая теория |
| Вид | статья |
| Язык | английский |
| Дата добавления | 02.11.2018 |
| Размер файла | 109,1 K |
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