Chang, Chia-Lin; McAleer, Michael - 2017
conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten …, Jagannathan and Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991). For purposes of deriving the … three univariate models. The random coefficient autoregressive process was used to obtain GARCH by Tsay (1987), an extension …