Glossary to ARCH (GARCH)

Tim Bollerslev

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: The literature on modeling and forecasting time-varying volatility is ripe with acronyms and abbreviations used to describe the many different parametric models that have been put forth since the original linear ARCH model introduced in the seminal Nobel Prize winning paper by Engle (1982). The present paper provides an easy-to-use encyclopedic reference guide to this long list of ARCH acronyms. In addition to the acronyms associated with specific parametric models, I have also included descriptions of various abbreviations associated with more general statistical procedures and ideas that figure especially prominently in the ARCH literature.

Keywords: (G)ARCH; Volatility models (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 44
Date: 2008-09-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (69)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-49

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