Autoregressive Conditional Heteroscedastic (Arch) Family of Models for Describing Volatility (original) (raw)

Autoregressive Conditional Heteroscedastic (Arch) Family of Models for Describing Volatility

Abstract

Abstract—By means of the ARCH (Auto-regressive Conditional Heteroscedasticity) and its modified models, this paper presents an empirical analysis of the volatility heteroscedasticity and the resilience to external shocks for China emerging stock market in the past three years based on the ...

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