Atika Aouri
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View article: A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks
A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks Open
We introduce a heterogeneous spatiotemporal GARCH model for geostatistical data or processes on networks, e.g., for modelling and predicting financial return volatility across firms in a latent spatial framework. The model combines classic…