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by JatinVerma
April 28th, 2009, 5:58 am
Forum: The Quantitative Finance FAQs Project
Topic: How do GARCH processes work?
Replies: 56
Views: 300508

How do GARCH processes work?

I am new to GARCH and have some queries about GARCH processes.How do we arrive at values for P and Q?How do we decide the amount of data points i.e e.g:10 years for long term, 1 year and then recent 3 months again ( as discussed in GARCH101)?Is Bayesian updating used for these calculations?