This chapter discusses two alternative approaches to the analysis of economic data, which is time series and the classical econometric approaches. The time series approach is based on experience from many fields, but that of the econometrician has been viewed as applicable only to economic data...

This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time...