Glossary to ARCH (GARCH)

Tim Bollerslev ()

CREATES Research Papers from School of Economics and Management, University of Aarhus

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)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
Date: 2008-09-04
View list of references

Downloads: (external link)
ftp://ftp.econ.au.dk/creates/rp/08/rp08_49.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this paper

More papers in CREATES Research Papers from School of Economics and Management, University of Aarhus
Series data maintained by ().