Can I read GARCH(1,1) Model Parameters and Backtesting on EtoBox?

GARCH(1,1) Model Parameters and Backtesting by zack409 is a document available to read on EtoBox.

What is GARCH(1,1) Model Parameters and Backtesting about?

This document summarizes the parameters and results of a GARCH(1,1) model fitted to stock market closing prices and returns data from 1990. It lists the estimated values of the GARCH parameters α, β, and α+β, as well as the total log likelihood of the model. A backtesting section compares the model

Author

zack409

Language

EN