Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation

• Main Authors: Hung T. Nguyen, Vladik Kreinovich, Olga Kosheleva, Songsak Sriboonchitta
• Format: Conference Proceeding
• Published: 2018
• Subjects: Agricultural and Biological Sciences
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951004094&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/44744
• Institution: Chiang Mai University

© Springer International Publishing Switzerland 2015. Economic and financial processes are complex and highly nonlinear. However, somewhat surprisingly, linear models like ARMAX-GARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical s...