Podobnik, Boris; Matia, Kaushik; Chessa, Alessandro; … - In: Physica A: Statistical Mechanics and its Applications 300 (2001) 1, pp. 300-309
We model the time series of the S&P500 index by a combined process, the AR+GARCH process, where AR denotes the autoregressive process which we use to account for the short-range correlations in the index changes and GARCH denotes the generalized autoregressive conditional heteroskedastic process...