An Introduction to Univariate GARCH Models

Timo Teräsvirta

Chapter 1 in Handbook of Financial Time Series, 2009, pp 17-42 from Springer

Abstract: Abstract This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard Generalized ARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

Keywords: Conditional Variance; Stochastic Volatility; GARCH Model; Stochastic Volatility Model; Return Series (search for similar items in EconPapers)
Date: 2009
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Working Paper: An introduction to univariate GARCH models (2006)
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DOI: 10.1007/978-3-540-71297-8_1

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