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An Introduction to Univariate GARCH Models

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Handbook of Financial Time Series

Abstract

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard Generalized ARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

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  1. CREATES Economics and Management,, University of Aarhus, DK-8000 AarhusC, and Department of Economic Statistics, Stockholm School of Economics, SE 113 83, 6501, Stockholm,

    Timo Teräsvirta

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  1. Timo Teräsvirta
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    Teräsvirta, T. (2009). An Introduction to Univariate GARCH Models. In: Mikosch, T., Kreiß, JP., Davis, R., Andersen, T. (eds) Handbook of Financial Time Series. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_1

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