Unit Root with GARCH Variance - Maple Application Center
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Unit Root with GARCH Variance

: marcus .
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We will in this worksheet explore the somewhat elusive General
Autoregressive Conditional Heteroskedasticity (GARCH) model.
The model was introduced by Robert Engle who later (in 2003)
won a nobel price for his work.

Engle, R (1982) ARCH with Estimates of Variance of United Kingdom Inflation,
Econometrica, 50:987-1008

Application Details

Publish Date: April 29, 2013
Created In: Maple 16
Language: English



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