An introduction to univariate GARCH models

Timo Teräsvirta

No 646, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

Keywords: ARCH; conditional heteroskedasticity; GARCH; nonlinear GARCH; volatility modelling (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2006-12-03
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: This article has been prepared for Handbook of Financial Time Series, ed. by T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch. New York: Springer
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Published in Handbook of Financial Time Series, Andersen, Torben G., Davis, Richard A., Kreiss, Jens-Peter, Mikosch, Thomas (eds.), 2009, pages 17-42, Springer.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0646

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