Note: Page numbers followed by “f” and “t” refer to figures and tables, respectively.
Additive outlier model (AO model), 302
empirical estimates of distribution of 1-year T-bill rates, 196f
GARCH models augmented by exogenous factors, 197–198
non-Gaussian marginal innovations, 190–196
volatility forecasts from Gaussian vs. t
-Student threshold GARCH(1,1), 194f
Akaike’s information criterion (AIC), 64
Alternative hypothesis, 14
Andrews–Quandt Sup-LR tests, 294–296
AO model, ...
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