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Showing 1 to 1 of 1 for “"GARCH, genetic algorithm, optimization"”.
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Optimization Of The GARCH Model Parameters Using A Genetic Algorithm
… series eventually led to the creation of the GARCH model. Typical GARCH parameters are (1,1) incorporating a 1-period lag of the regression residual as well as a 1-period lag of the regression volatility. The primary question investigated in this paper is whether the typical GARCH(1,1) …