On a dynamic mixture GARCH model

Keyphrases

• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 100%
• Dynamic Mixtures 100%
• Volatility Components 66%
• Number of Parameters 33%
• Stock Market 33%
• EM Algorithm 33%
• Hang Seng Index 33%
• S&P 500 33%
• Bayesian Information Criterion 33%
• Nonstationary Volatility 33%
• Gaussian Errors 33%
• Mixed Gaussian Distribution 33%
• Mixture Proportion 33%
• Index Returns 33%
• IGARCH 33%
• One-stationary 33%

Engineering

• Model Parameter 100%
• Gaussians 100%
• EM Algorithm 100%
• Gaussian Mixture 100%

Mathematics

• GARCH Model 100%
• Gaussian Distribution 66%
• EM Algorithm 33%
• Stock Market 33%
• Hang Seng Index 33%
• Bayesian Information Criterion 33%