Research Article

Nonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows

Table 1

The minimum and maximum values of along the company’s trajectories in (, ) space.

CompanyMinimumMaximum

Lloyds-6 months33.370037.0000
GSK-6 months60.338676.5162
Gold-3 year90.3439253.4463
Gold-1 year79.3684188.9430
RioTinto-3 year36.173042.5383
RioTinto-1 year34.141939.9972
RioTinto-6 months30.956435.3291