Note: Page numbers followed by “f” and “t” refer to figures and tables, respectively.


Additive outlier model (AO model), 302, 303, 303
Adjusted R2, 6
Advanced univariate volatility modeling, 190–198See also Simple univariate parametric models
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, 331
Alternative hypothesis, 14
Andrews and Quandt’s single-break test, 294–297, 297f
Andrews–Quandt Sup-LR tests, 294–296
AO model, ...

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