GJR-GARCH Volatility Analysis Asset Classes All
收藏kaggle2023-08-20 更新2024-03-07 收录
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资源简介：
GJR-GARCH Volatility Analysis Across Asset Classes 1/3/1990 - 6/9/2023
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创建时间：
2023-08-20
相关数据集
Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.
Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.
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Estimation results of parameters for MS-GARCH in two regimes with the model specification of GJR-GARCH(1,1) with an underlying normal () distribution for each regime.
Estimation results of parameters for MS-GARCH in two regimes with the model specification of GJR-GARCH(1,1) with an underlying normal () distribution for each regime.
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Estimation results of parameters for MS-GARCH in two regimes with the model specification of GJR-GARCH(1,1) with an underlying normal () distribution for each regime.
Estimation results of parameters for MS-GARCH in two regimes with the model specification of GJR-GARCH(1,1) with an underlying normal () distribution for each regime.
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Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.
Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.
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ADCC-GJR-GARCH estimates.
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