GARCH(1,1) models
sive structure within itself. The GARCH(p,q) (generalized ARCH) model is given by X t= e t˙ t ˙2 t = !+ 1X 2 t 1 + :::+ pX 2 t p+ 1˙ 2 t 1 + :::+ q˙ 2 t q: This model, in particular the simpler GARCH(1,1) model, has become widely used in nancial time series modelling and is implemented in most statistics and econometric software packages.
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