An introduction to univariate GARCH models

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.

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Year of publication:	2006
Authors:	Teräsvirta, Timo
Publisher:	Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI)
Subject:	Kapitalertrag \| Prognoseverfahren \| Volatilität \| ARCH-Modell \| Heteroskedastizität \| Nichtlineares Verfahren \| Theorie \| ARCH \| conditional heteroskedasticity \| GARCH \| nonlinear GARCH \| volatility modelling

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Series:	SSE/EFI Working Paper Series in Economics and Finance ; 646
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	521138485 [GVK] hdl:10419/56283 [Handle]
Classification:	C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010281357