Time Series Analysis, Stochastic Process, Volatility, Data Science.
constant (and is close to zero) or zero. ϵ_t is drawn from a normal distribution, where the normal distribution has a mean of zero and a variance of σ_t². 3. How to Estimate Parameters of the GARCH Volatility Model? So in the above section, we developed an initial model of return using GARCH(1,1).