GARCHmallien
GARCHmallien is a theoretical construct used in financial econometrics to describe a specific type of time series model. It extends the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model by incorporating elements that capture both volatility clustering and mean reversion in financial data. The "mallien" component suggests a linkage to models that explicitly account for the tendency of financial asset returns to move back towards their historical average over time, a phenomenon often referred to as mean reversion.
The GARCHmallien model aims to provide a more comprehensive framework for understanding and forecasting the volatility
By combining these features, the GARCHmallien model offers a richer representation of financial market behavior. Researchers