DocumentCode
3038825
Title
The application review of GARCH model
Author
Xu, Jie ; Zhang, Zhigang ; Zhao, Lutao ; Ai, Dongmei
Author_Institution
Sch. of Math. & Phys., Univ. of Sci. & Technol. Beijing, Beijing, China
fYear
2011
fDate
26-28 July 2011
Firstpage
2658
Lastpage
2662
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.
Keywords
banking; exchange rates; pricing; time series; GARCH model; GDP; bank; crude oil prices; financial time series; foreign exchange administration; foreign exchange rate; funds; inflation rate; stock prices; volatility clustering; Analytical models; Econometrics; Economic indicators; Mathematical model; Predictive models; Stock markets; Time series analysis; CARCH; GARCH; IGARCH; TGARCH;
fLanguage
English
Publisher
ieee
Conference_Titel
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location
Hangzhou
Print_ISBN
978-1-61284-771-9
Type
conf
DOI
10.1109/ICMT.2011.6002504
Filename
6002504
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