An introduction to univariate GARCH models

Timo Teräsvirta

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review. -- ARCH ; conditional heteroskedasticity ; GARCH; nonlinear GARCH; volatility modelling

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Year of publication:	07 Dec. 2006
Other Persons:	Teräsvirta, Timo (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	Kapitaleinkommen \| Capital income \| Prognoseverfahren \| Forecasting model \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Heteroskedastizität \| Heteroscedasticity \| Nichtlineare Regression \| Nonlinear regression \| Theorie \| Theory

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Extent:	Online-Ressource (PDF-Datei: 30 S., 219,21 KB) graph. Darst.
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 646
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/56283 [Handle]
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003394988