graduation at Ciências Econômicas from Universidade Estadual de Campinas (2017) and master's at Probability and Statistics from Universidade Estadual de Campinas (2020). (Source: Lattes Curriculum)
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The generalized autoregressive conditional heteroskedasticity (GARCH) model has been the most used model to model volatility series of returns of prices of financial assets. Its popularity is due to the fact that the model can explain the main characteristics of interest found in these series and because its likelihood can be calculated in a simple way, when conditioned to an initial valu…
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