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Прогнозування максимальних умовних дисперсій багатовимірних процесів із різнотемповою дискретизацією на основі адаптивних моделей GARCH

A method for synthesis of GARCH models for forecasting maximal conditional dispersions of multidimensional heteroskedastic processes under discretisation of input disturbances with small sampling periods and of output coordinates with large ones is considered. The dynamics of processes in a stochast...

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Bibliographic Details
Date:2009
Main Authors: Romanenko, V. D., Milyavsky, Yu. L.
Format: Article
Language:Russian
Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2009
Online Access:http://journal.iasa.kpi.ua/article/view/107275
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Journal Title:System research and information technologies

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System research and information technologies

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