Processes with Autoregressive Conditional Heteroskedasticity (ARCH)

Uwe Hassler

Chapter 6 in Stochastic Processes and Calculus, 2016, pp 127-148 from Springer

Abstract: Abstract In particular in the case of financial time series one often observes a highly fluctuating volatility (or variance) of a series: Agitated periods with extreme amplitudes alternate with rather quiet periods being characterized by moderate observations. After some short preliminary considerations concerning models with time-dependent heteroskedasticity, we will discuss the model of autoregressive conditional heteroskedasticity (ARCH), for which Robert F. Engle was awarded the Nobel prize in the year 2003. After a generalization (GARCH), there will be a discussion on extensions relevant for practice.

Keywords: Stochastic Volatility; GARCH Model; Quiet Period; Financial Time Series; Arch Model (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-23428-1_6

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