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TGARCH materials for next week

For next week's project session, we will use the same dataset as for this week's exercise, weekly S&P 500 log total returns for five years through Oct. 5, 2009.
The primary reference for the asymmetric conditional heteroskedasticity model, by Jean-Michel Zakoian, is available through the University Library by following this DOI link.

Posted by John Dodson on October 6, 2009 9:38 PM |

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