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CAO Li-mei, SUN Hua-fei, WANG Xiao-jie. Information Geometry of GARCH ModelJ. JOURNAL OF BEIJING INSTITUTE OF TECHNOLOGY, 2009, 18(2): 243-246.
Citation: CAO Li-mei, SUN Hua-fei, WANG Xiao-jie. Information Geometry of GARCH ModelJ. JOURNAL OF BEIJING INSTITUTE OF TECHNOLOGY, 2009, 18(2): 243-246.

Information Geometry of GARCH Model

  • A statistical manifold of non-exponential type coming from a model for economics describing stock return process is constructed, with its geometric structure investigated and both Gaussian curvatures and mean curvatures of its curved exponential submanifolds deducted. A few graphs describing relevant scalar curvature, mean curvature and Gaussian curvature are also introduced.
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