CONTINUOUS-TIME GARCH (COGARCH) MODELING OF TURKISH INTEREST RATES
We proposed a continuous time GARCH known as COGARCH(p,q) model for modeling the volatility of Turkish interest rates. COGARCH (p,q) models have been statistically proven successful in capturing the heavy-tail behaviour of the interest rates . We demonstrate the capabilities of COGARCH(p,q) model by...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Social Sciences Research Society
2011-01-01
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| Series: | International Journal of Economics and Finance Studies |
| Online Access: | http://www.sobiad.org/eJOURNALS/journal_IJEF/archieves/2011_1/19selcuk_bayraci.pdf |