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Using orthogonal garch to forecast covariance matrix of stock returns _____ a thesis presented to the faculty of the department of economics. Garch models and entropy measures in finance phd thesis abstract thus the garch model is chosen over the continuous time 12 garch models and entropy measures. An empirical study in risk management: estimation of value at risk with garch master thesis in statistics department of statistics uppsala 11 garch model.
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Volatility modeling using the student’s t distribution 44 descriptive statistics for the constant in the student’s t garch model, n=500. Volatility modelling of asset prices using garch models master’s thesis division of automatic control department of electrical engineering link¨oping university.
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