Abstract
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 success of these models.
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Nguyen, H.T., Kreinovich, V., Kosheleva, O., Sriboonchitta, S. (2015). Why ARMAX-GARCH Linear Models Successfully Describe Complex Nonlinear Phenomena: A Possible Explanation. In: Huynh, VN., Inuiguchi, M., Demoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2015. Lecture Notes in Computer Science(), vol 9376. Springer, Cham. https://doi.org/10.1007/978-3-319-25135-6_14
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DOI: https://doi.org/10.1007/978-3-319-25135-6_14
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