New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model

Journal title

Central European Journal of Economic Modelling and Econometrics




No 1


Settar, Abdeljalil : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Fatmi, Nadia Idrissi : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Badaoui, Mohammed : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Badaoui, Mohammed : LaMSD, École Supérieure de Technologie (EST), Oujda, Morocco



GARCH ; Kalman filter ; conditional variance ; volatility ; quasimaximum likelihood

Divisions of PAS

Nauki Humanistyczne i Społeczne




Oddział PAN w Łodzi


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DOI: 10.24425/cejeme.2021.137355


Central European Journal of Economic Modelling and Econometrics; 2021; No 1; 55-74