Daly, Kevin - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 11, pp. 2377-2393
measures based on the assumption that volatility changes over time. The introduction of the original ARCH model by Engle has … spawned an ever increasing variety of models such as GARCH, EGARCH, NARCH, ARCH-M MARCH and the Taylor–Schwert model. The …