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Title:An introduction to univariate GARCH models PDF Logo
Authors:Teräsvirta, Timo
Issue Date:2006
Series/Report no.:SSE/EFI Working Paper Series in Economics and Finance 646
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.
Subjects:ARCH
conditional heteroskedasticity
GARCH
nonlinear GARCH
volatility modelling
JEL:C22
Document Type:Working Paper
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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