Šestović, Dragan - In: Ekonomski pregled 49 (1998) 4, pp. 292-303
that successfuly describe heteroskedasticity, i.e. GARCH (1,1) model. We show the significance of the model parameters, and … are heteroskedastic, i.e. their volatility is not constant in time For that reason the appropriate mathematical models … were developed which take this effect into account. In this paper we study one particular member of GARCH family of models …
