Browsing Research Articles (Mathematics and Applied Mathematics) by Subject "Generalised autoregressive heteroskedasticity (GARCH)"
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Browsing Research Articles (Mathematics and Applied Mathematics) by Subject "Generalised autoregressive heteroskedasticity (GARCH)"
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(Taylor and Francis, 2022)In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) ...
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