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The Economic Research Institute, Stockholm School of Economics 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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This paper is published as:
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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