Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2005
distribution is a result of
the observation that the volatility of asset returns, which can be viewed as a measure of risk,
appears … to be serially correlated and can, to some degree, be predicted from past observations.
Thus, the methods of volatility … risks. Among the models
that have been proposed to capture time{varying volatility, the GARCH process is certainly
the most …