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Glossary to ARCH (GARCH)

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  • Tim Bollerslev

    ()
    (School of Economics and Management, University of Aarhus, Denmark and CREATES)

Abstract

The literature on modeling and forecasting time-varying volatility is ripe with acronyms and abbreviations used to describe the many different parametric models that have been put forth since the original linear ARCH model introduced in the seminal Nobel Prize winning paper by Engle (1982). The present paper provides an easy-to-use encyclopedic reference guide to this long list of ARCH acronyms. In addition to the acronyms associated with specific parametric models, I have also included descriptions of various abbreviations associated with more general statistical procedures and ideas that figure especially prominently in the ARCH literature.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2008-49.

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Length: 44
Date of creation: 04 Sep 2008
Date of revision:
Handle: RePEc:aah:create:2008-49

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Keywords: (G)ARCH; Volatility models;

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  2. Daniel Levin & Terry Lyons & Hao Ni, 2013. "Learning from the past, predicting the statistics for the future, learning an evolving system," Papers 1309.0260, arXiv.org, revised Sep 2013.
  3. Peter Boswijk, H. & van der Weide, Roy, 2011. "Method of moments estimation of GO-GARCH models," Journal of Econometrics, Elsevier, Elsevier, vol. 163(1), pages 118-126, July.
  4. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
  5. Tsatsura, Oleg, 2010. "A Smooth Transition GARCH-M Model," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 17(1), pages 45-61.
  6. Köksal, Bülent, 2009. "A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns," MPRA Paper 30510, University Library of Munich, Germany.
  7. Zapodeanu Daniela & Cociuba Mihai & Petria Nicolae, 2012. "The Role Of Value At Risk In The Management Of Asset And Liabilities," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 635-640, December.
  8. Chalabi, Yohan / Y. & Wuertz, Diethelm, 2010. "Weighted trimmed likelihood estimator for GARCH models," MPRA Paper 26536, University Library of Munich, Germany.
  9. J. Miguel Marín & M. T. Rodríguez Bernal & Eva Romero, 2013. "Data cloning estimation of GARCH and COGARCH models," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws132723, Universidad Carlos III, Departamento de Estadística y Econometría.
  10. Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," CREA Discussion Paper Series, Center for Research in Economic Analysis, University of Luxembourg 13-07, Center for Research in Economic Analysis, University of Luxembourg.
  11. Borusyak, K., 2011. "Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management," Journal of the New Economic Association, New Economic Association, New Economic Association, issue 11, pages 85-105.
  12. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1425, University of St. Gallen, School of Economics and Political Science.
  13. Rubin, Ofir D. & Ihle, Rico & Kachel, Yael & Goodwin, Barry K., 2013. "The impact of violent political conflict on commodity prices: The Israeli food market," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association 150961, Agricultural and Applied Economics Association.
  14. Bouoiyour, Jamal & Miftah, Amal & Selmi, Refk, 2014. "Do Financial Flows raise or reduce Economic growth Volatility? Some Lessons from Moroccan case," MPRA Paper 57258, University Library of Munich, Germany.

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