Bera, Anil K; Higgins, Matthew L - In: Journal of Economic Surveys 7 (1993) 4, pp. 305-66
The aim of this survey paper is to provide an account of some of the important developments in the autoregressive conditional heteroskedasticity (ARCH) model since its inception in a seminal paper by Engle (1982). This model takes account of many observed properties of asset prices, and...