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,...

This article applies recent developments in time-series modeling to analyze the retail prices of beef, pork, and chicken. Specifically, generalized autoregressive conditional heteroscedasticity (GARCH) models were fitted to these data to determine if, unlike more traditional time-series models,...

This study examines the empirical implications of extending the rational expectations hypothesis (REH) to include price uncertainty. Unlike previous studies, a general estimation framework that incorporates both the restrictions on structural parameters and the variance-covariance terms is...

This study examines the empirical implications of extending the rational expectations hypothesis (REH) to include price uncertainty. Unlike previous studies, a general estimation framework that incorporates both the restrictions on structural parameters and the variance-covariance terms is...

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,...