Onody, R. N.; Favaro, G. M.; Cazaroto, E. R. - In: The European Physical Journal B - Condensed Matter and … 57 (2007) 4, pp. 487-493
The GARCH (p, q) model is a very interesting stochastic process with widespread applications and a central role in empirical finance. The Markovian GARCH (1, 1) model has only 3 control parameters and a much discussed question is how to estimate them when a series of some financial asset is...