Aradhyula, Satheesh V.; Holt, Matthew T. - Center for Agricultural and Rural Development (CARD), … - 1988
Traditional time series models assume a constant conditional variance. Realizing the implausibility of this assumption, Bollerslev proposed Generalized Autoregressive Conditional Heteroscedasticity (GARSH) processes, which are characterized by nonconstant conditional variances. In this paper,...