Browsing by Keyword "Garch (1,1)"
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Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)
2015-02-27This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor ...