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GENERALIZED AUTOREGRESSIVE CONDITIONAL …

public.econ.duke.edu

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

Econometrics, Generalized, Conditional, Heteroskedasticity, Autoregressive, Of econometrics, Generalized autoregressive conditional, Generalized autoregressive conditional heteroskedasticity

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GENERALIZED AUTOREGRESSIVE CONDITIONAL, Of Econometrics, GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY