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GENERALIZED AUTOREGRESSIVE CONDITIONAL …

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 ... section 5. If all the roots of 1-B(z)=0 lie outside the unit circle, (2) can be rewritten as a ...

  Generalized, Conditional, Heteroskedasticity, Autoregressive, Generalized autoregressive conditional, Generalized autoregressive conditional heteroskedasticity

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