Akhtar, Shahan; Khan, Naimat U. - In: Journal of Asia Business Studies 10 (2016) 3, pp. 253-275
conditional heteroskedasticity [ARCH (1)], generalized autoregressive conditional heteroskedasticity [GARCH (1, 1)], GARCH in mean … [GARCH-M (1, 1)], exponential GARCH [E-GARCH (1, 1)], threshold GARCH [T-GARCH (1, 1)], power GARCH [P-GARCH (1, 1)] and also … return series show non-normal distribution, stationarity and volatility clustering. However, the heteroskedasticity is absent …