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GARCH |
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Bollerslev (1986) generalized the ARCH models to the GARCH models, which are capable of describing the feature of volatility clustering and other characteristics of financial time series. The Standard EWMA estimator is a special case of generalized autoregressive conditional heteroscedasticity, or a GARCH model (Engle, 1982; Bollerslev, 1986). This paper investigates the heteroskedastic behavior of the Indian stock market using 'vanilla' GARCH (1, 1) model for a period of about 24 years from January 1980 to June 2003. |
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