Garch Models

Teräsvirta, Timo

doi:10.1002/9780470061602.eqf19018

Encyclopedia of Quantitative Finance 2010

DOI: 10.1002/9780470061602.eqf19018

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Garch Models

Timo Teräsvirta¹

Abstract: This article contains a brief account of univariate and multivariate autoregressive conditional heteroskedasticity (ARCH) and generalized autoregressive conditional heteroskedasticity (GARCH) models.

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Garch Models

Abstract: This article contains a brief account of univariate and multivariate autoregressive conditional heteroskedasticity (ARCH) and generalized autoregressive conditional heteroskedasticity (GARCH) models.

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References 59 publications

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