Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev

EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels

Abstract: The present paper proposes a generalization of the canonical AutoRegressive Conditional Heteroskedasticity (ARCH) model by extending the conditional variance equation toward past conditional variances. The stationarity conditions and autocorrelation structure of the Generalized AutoRegressive Conditional Heteroskedastic (GARCH) model are derived. Using an empirical example of uncertainty of the inflation rate the paper demonstrates that the GARCH model provides a better fit and a more plausible learning mechanism than the ARCH model.

Keywords: GARCH model; time-varying variance. (search for similar items in EconPapers)
JEL-codes: C12 C32 C51 C52 (search for similar items in EconPapers)
Date: 1986-09-01
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Citations: View citations in EconPapers (7333)

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Journal Article: Generalized autoregressive conditional heteroskedasticity (1986)
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Persistent link: https://EconPapers.repec.org/RePEc:eei:rpaper:eeri_rp_1986_01

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