REVIEW OF GARCH MODEL APPLICABILITY IN VIEW OF SOME RECENT RESEARCH Cover Image
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REVIEW OF GARCH MODEL APPLICABILITY IN VIEW OF SOME RECENT RESEARCH
REVIEW OF GARCH MODEL APPLICABILITY IN VIEW OF SOME RECENT RESEARCH

Author(s): Krzysztof Drachal
Subject(s): Economy
Published by: Universitatea SPIRU HARET - Faculty of Accounting and Financial Management
Keywords: GARCH; risk premium; volatility

Summary/Abstract: The aim of this paper is to present a concise review of selected theoretical aspects of GARCH family of models. The article contains a literature review from last few years, in which various arguments are presented. Both advocating the usability of GARCH models and also arguments against this model. The review contains both references to some theoretical considerations and also to practical researches. In particular, we focused on applicability of GARCH model to describe the volatility of risk premium and stock returns.

  • Issue Year: 7/2015
  • Issue No: 2
  • Page Range: 191-200
  • Page Count: 10
  • Language: English