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- W348379720 abstract "This paper explains why a two-component GARCH model as proposed by Ding and Granger (1996) or Engle and Lee (1999) can be an ideal alternative model for practitioners in modeling stock return volatility. I show that the two-component GARCH model can easily capture the slow hyperbolic decay of the sample autocorrelation function for the absolute or squared returns that is commonly found in empirical data. Compared to the alternative long memory GARCH model, the two-component GARCH model is easy to estimate and implement." @default.
- W348379720 created "2016-06-24" @default.
- W348379720 creator A5071964099 @default.
- W348379720 date "2013-01-01" @default.
- W348379720 modified "2023-09-25" @default.
- W348379720 title "Volatility Modeling Using GARCH: Theory and Practice" @default.
- W348379720 cites W3142067238 @default.
- W348379720 doi "https://doi.org/10.2139/ssrn.2359212" @default.
- W348379720 hasPublicationYear "2013" @default.
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