New GARCH models

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  • Nonlinear GARCH (NGARCH)
  • QGARCH
  • GJR-GARCH
  • TGARCH model
  • Fractional GARCH
  • GARCH-X
  • SR-SARV(p) for stochastic volatility
  • ARFIMA
  • CARMA (continuous time ARMA)
  • Regime Switching Models
  • Extreme values

Comments

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  • Would you have the project of developing Fractional integrated EGARCH (FIEGARCH) models?

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