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- W1506632623 abstract "In their seminal papers on ARCH and GARCH models, Engle (1982) and Bollerslev (1986) specified parametric inequality constraints that were sufficient for non-negativity and weak stationarity of the estimated conditional variance function. This paper uses Bayesian methodology to impose these constraints on the parameters of an ARCH(3) and a GARCH(1,1) model. The two models are used to explain volatility in the London Metals Exchange Index. Model uncertainty is resolved using Bayesian model averaging. Results include estimated posterior pdfs for one-step-ahead conditional variance forecasts." @default.
- W1506632623 created "2016-06-24" @default.
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- W1506632623 date "2008-01-01" @default.
- W1506632623 modified "2023-10-16" @default.
- W1506632623 title "Imposing stationarity constraints on the parameters of ARCH and GARCH models" @default.
- W1506632623 doi "https://doi.org/10.1016/s0731-9053(08)23017-3" @default.
- W1506632623 hasPublicationYear "2008" @default.
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