Timo Teräsvirta: School of Economics and Management, University of Aarhus, Postal: Building 1322, DK-8000 Aarhus C, Denmark
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.
30 pages, December 3, 2006
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
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