ARCH, GARCH and Time-Varying Variance

John D. Levendis
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John D. Levendis: Loyola University New Orleans

Chapter 9 in Time Series Econometrics, 2018, pp 197-261 from Springer

Abstract: Abstract To this point, we have considered non-stationary means, but strictly speaking, non-stationarity could apply to any of the moments of a random variable: the mean, variance, skewness, kurtosis, etc… Finance especially is concerned with the non-stationarity of variance.

Date: 2018
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DOI: 10.1007/978-3-319-98282-3_9

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