Dynamical approach in studying stability condition of exponential (GARCH) models
In this article our goal is to studying the stationary condition of EGARCH time series model which is proved by Nelson (1991) but what we did is to prove it with more simple and clearly defined method and this is done by using a dynamical approximation relying on local linearization method in the ne...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-01-01
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| Series: | Journal of King Saud University: Science |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1018364718305421 |