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Generalized autoregressive conditional heteroskedasticity

Publication ,  Journal Article
Bollerslev, T
Published in: Journal of Econometrics
January 1, 1986

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.

Duke Scholars

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Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

January 1, 1986

Volume

31

Issue

3

Start / End Page

307 / 327

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

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Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
Bollerslev, T. “Generalized autoregressive conditional heteroskedasticity.” Journal of Econometrics 31, no. 3 (January 1, 1986): 307–27. https://doi.org/10.1016/0304-4076(86)90063-1.
Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics. 1986 Jan 1;31(3):307–27.
Bollerslev, T. “Generalized autoregressive conditional heteroskedasticity.” Journal of Econometrics, vol. 31, no. 3, Jan. 1986, pp. 307–27. Scopus, doi:10.1016/0304-4076(86)90063-1.
Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics. 1986 Jan 1;31(3):307–327.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

January 1, 1986

Volume

31

Issue

3

Start / End Page

307 / 327

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics