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

• المؤلفون الرئيسيون: Hung T. Nguyen, Vladik Kreinovich, Olga Kosheleva, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science; Mathematics
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951833870&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421

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