Family Of Models Arch
Mostrando 1-2 de 2 artigos, teses e dissertações.
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1. Modelos de volatilidade estatística
In the financial market usually notices are taken of the shares sequentially over the time in order to characterize them a time series. However, the major interest is to forecast the behavior of these shares. Motivated by this fact, a lot of models were created based on the past information considering constant averages and variance over time. Although, in f
Publicado em: 2008
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2. Stochastic models with heteroscedasticity for time series in finance / Modelos estocásticos com heterocedasticidade para séries temporais em finanças
In this work we present a study of autoregressive conditional heteroskedasticity models (ARCH) and autoregressive models with autoregressive conditional heteroskedasticity errors (AR-ARCH). We also present procedures for the estimation and the selection of these models. The estimates of the parameters of those models are obtained using both Maximum Likelihoo
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 20/05/2005