A network autoregressive model with GARCH effects and its applications

In this study, a network autoregressive model with GARCH effects, denoted by NAR-GARCH, is proposed to depict the return dynamics of stock market indices. A GARCH filter is employed to marginally remove the GARCH effects of each index, and the NAR model with the Granger causality test and Pearson’s...

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Detalles Bibliográficos
Autores principales: Huang, Shih-Feng, Chiang, Hsin-Han, Lin, Yu-Jun
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2021
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8320925/
https://www.ncbi.nlm.nih.gov/pubmed/34324604
http://dx.doi.org/10.1371/journal.pone.0255422

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8320925/
https://www.ncbi.nlm.nih.gov/pubmed/34324604
http://dx.doi.org/10.1371/journal.pone.0255422

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