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.

In this paper a new ARCH-type volatility model is proposed. The Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity (RHARCH) model draws inspiration from Heterogeneous Autoregressive Conditional Heteroskedasticity presented by Muller et al. (1995), but employs more efficient,...

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.

The present paper studies the non-parametric estimation of volatility in financial time series. Support Vector Regression (SVR) is applied and compared with alternative techniques for estimating a Conditional Heteroskedastic AutoRegressive Nonlinear (CHARN) model. A multiscale decomposition...