Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/92581 
Year of Publication: 
2001
Series/Report no.: 
ISER Discussion Paper No. 545
Publisher: 
Osaka University, Institute of Social and Economic Research (ISER), Osaka
Abstract: 
This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA-GARCH are summarized. Various new ARCH-type models, including double threshold ARCH and GARCH, ARFIMA-GARCH, CHARMA and vector ARMA-GARCH, are also reviewed.
Document Type: 
Working Paper

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