Arch models

Tim Bollerslev, Robert Engle and Daniel B. Nelson

Chapter 49 in Handbook of Econometrics, 1986, vol. 4, pp 2959-3038 from Elsevier

Abstract: This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time methods, aggregation and forecasting of ARCH models, multivariate conditional covariance formulations, and the use of model selection criteria in an ARCH context. Additionally, the chapter contains a discussion of the empirical regularities pertaining to the temporal variation in financial market volatility. Motivated in part by recent results on optimal filtering, a new conditional variance model for better characterizing stock return volatility is also presented.

JEL-codes: C39 (search for similar items in EconPapers)
Date: 1986
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (118)

Downloads: (external link)
http://www.sciencedirect.com/science/article/B7GX7 ... 0a1093e074eeb0686e91
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:ecochp:4-49

Access Statistics for this chapter

More chapters in Handbook of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().