GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

Robert Engle

Journal of Economic Perspectives, 2001, vol. 15, issue 4, 157-168

Abstract: ARCH and GARCH models have become important tools in the analysis of time series data, particularly in financial applications. These models are especially useful when the goal of the study is to analyze and forecast volatility. This paper gives the motivation behind the simplest GARCH model and illustrates its usefulness in examining portfolio risk. Extensions are briefly discussed.

JEL-codes: C22 C51 (search for similar items in EconPapers)
Date: 2001
Note: DOI: 10.1257/jep.15.4.157
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Citations: View citations in EconPapers (332)

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