Advanced Search
MyIDEAS: Login

Modeling Volatility Dynamics

Contents:

Author Info

  • Diebold
  • Lopez

Abstract

Many economic and financial time series have been found to exhibit dynamics in variance; that is, the second moment of the time series innovations varies over time. Many possible model specifications are available to capture this phenomena, but to date, the class of models most widely used are autoregressive conditional heteroskedasticity (ARCH) models. ARCH models provide parsimonious approximations to volatility dynamics and have found wide use in macroeconomics and finance. The family of ARCH models is the subject of this paper. In section II, we sketch the rudiments of a rather general univariate time-series model, allowing for dynamics in both the conditional mean and variance. In section III, we provide motivation for the models. In section IV, we discuss the properties of the models in depth, and in section V, we discuss issues related to estimation and testing. In Section VI, we detail various important extensions and applications of the model. We conclude in section VII with speculations on productive directions for future research.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: ftp://ftp.ssc.upenn.edu/pub/people/diebold/paper9/paar.pdf
Our checks indicate that this address may not be valid because: 500 Failed to connect to FTP server ftp.ssc.upenn.edu: Net::FTP: Bad hostname 'ftp.ssc.upenn.edu'. If this is indeed the case, please notify (Thomas Krichel)
Download Restriction: no

Bibliographic Info

Paper provided by University of Pennsylvania in its series Home Pages with number _062.

as in new window
Length:
Date of creation:
Date of revision:
Handle: RePEc:wop:pennhp:_062

Contact details of provider:
Postal: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
Phone: 215-898-7701
Fax: 215-573-2057
Email:
Web page: http://www.econ.upenn.edu/
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wop:pennhp:_062. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.