SSE/EFI Working Paper Series in Economics and Finance
No 646:
An introduction to univariate GARCH models
Timo Teräsvirta ()
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; (follow links to similar papers)
JEL-Codes: C22; (follow links to similar papers)
30 pages, December 3, 2006
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
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Teräsvirta, Timo, (2009), 'An introduction to univariate GARCH models' in Andersen, Torben G., Richard A. Davis, Jens-Peter Kreiss and Thomas Mikosch (eds.) Handbook of Financial Time Series, pages 17-42, Springer, ISBN 978-3-540-71296-1.
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