Reprint of: Generalized Autoregressive Conditional Heteroskedasticity
Publication
, Journal Article
Bollerslev, T
Published in: Journal of Econometrics
March 1, 2023
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.
Duke Scholars
Published In
Journal of Econometrics
DOI
EISSN
1872-6895
ISSN
0304-4076
Publication Date
March 1, 2023
Volume
234
Start / End Page
25 / 37
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Bollerslev, T. (2023). Reprint of: Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 234, 25–37. https://doi.org/10.1016/j.jeconom.2023.02.001
Bollerslev, T. “Reprint of: Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 234 (March 1, 2023): 25–37. https://doi.org/10.1016/j.jeconom.2023.02.001.
Bollerslev T. Reprint of: Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics. 2023 Mar 1;234:25–37.
Bollerslev, T. “Reprint of: Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics, vol. 234, Mar. 2023, pp. 25–37. Scopus, doi:10.1016/j.jeconom.2023.02.001.
Bollerslev T. Reprint of: Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics. 2023 Mar 1;234:25–37.
Published In
Journal of Econometrics
DOI
EISSN
1872-6895
ISSN
0304-4076
Publication Date
March 1, 2023
Volume
234
Start / End Page
25 / 37
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics