Generalized autoregressive conditional heteroskedasticity

Published

Journal Article

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. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an empirical example relating to the uncertainty of the inflation rate is presented. © 1986.

Full Text

Duke Authors

Cited Authors

  • Bollerslev, T

Published Date

  • January 1, 1986

Published In

Volume / Issue

  • 31 / 3

Start / End Page

  • 307 - 327

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/0304-4076(86)90063-1

Citation Source

  • Scopus