Transcription of GENERALIZED AUTOREGRESSIVE CONDITIONAL …
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Journal of Econometrics 31 (1986) 307-327. North-Holland GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY Tim BOLLERSLEV* University of California at San Diego, La Jolla, CA 92093, USA Institute of Economics, University of Aarhus, Denmark Received May 1985, final version received February 1986 A natural generalization of the ARCH ( AUTOREGRESSIVE CONDITIONAL Heteroskedastic) process introduced in Engle (1982) to allow for past CONDITIONAL variances in the current CONDITIONAL variance equation is proposed.
empirical work, since estimating a totally free lag distribution often will lead to violation of the non-negativity constraints. In this paper a new, more general class of processes, GARCH (Generalized Autoregressive Conditional Heteroskedastic), is introduced, allowing for a much more flexible lag structure.
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