GARCH(1,1) models
determined using the Box-Pierce or similar tests for autocorrelation signi cance, where the case p= 0 corresponds to a white noise process. To ensure that ˙2 t remains positive, !; i 0 8iis required. Tim Bollerslev (1986) extended the ARCH model to allow ˙2 t to have an additional autoregres-sive structure within itself.
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