Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56283
Authors: 
Teräsvirta, Timo
Year of Publication: 
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

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