Univariate GARCH models: a survey (in Russian)

Eduardo Rossi

Quantile, 2010, issue 8, 1-67

Abstract: This article presents a survey of the developments of univariate GARCH models. ARCH, GARCH, EGARCH and other possible nonlinear extensions are examined. Conditions for stationarity (weak and strong) are presented. Inference and testing is presented in the quasi-maximum likelihood framework. Continuous GARCH approximations are discussed.

Date: 2010
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2010:i:8:p:1-67

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