Statements (18)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
time series model |
| gptkbp:abbreviation |
IGARCH
|
| gptkbp:application |
forecasting volatility
modeling financial time series |
| gptkbp:characterizedBy |
unit root in GARCH process
|
| gptkbp:describes |
volatility clustering
|
| gptkbp:generalizes |
gptkb:GARCH_model
|
| https://www.w3.org/2000/01/rdf-schema#label |
Integrated GARCH
|
| gptkbp:introduced |
gptkb:Tim_Bollerslev
gptkb:Robert_F._Engle |
| gptkbp:introducedIn |
1986
|
| gptkbp:relatedTo |
gptkb:ARCH_model
gptkb:GARCH_model |
| gptkbp:usedIn |
finance
econometrics |
| gptkbp:bfsParent |
gptkb:GARCH_model
|
| gptkbp:bfsLayer |
7
|