Lectures for Part II: Time Series Models in Finance
Lectures for Part II: Time Series Models in Finance
Lectures for Part II: Time Series Models in Finance
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Sample ACF <strong>for</strong> GARCH and SV <strong>Models</strong> (1000 reps)<br />
(a) GARCH(1,1) Model, n=10000<br />
-0.3 -0.1 0.1 0.3<br />
(b) SV Model, n=10000<br />
-0.06 -0.02 0.02<br />
MaPhySto Workshop 9/04<br />
100