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Univariate GARCH models: a survey (in Russian)


  • Eduardo Rossi

    (University of Pavia, Pavia, Italy)


This article presents a survey of the developments of univariate GARCH models. ARCH, GARCH, EGARCH and other possible nonlinear extensions are examined. Conditions for stationarity (weak and strong) are presented. Inference and testing is presented in the quasi-maximum likelihood framework. Continuous GARCH approximations are discussed.

Suggested Citation

  • Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
  • Handle: RePEc:qnt:quantl:y:2010:i:8:p:1-67

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    Cited by:

    1. Loukianova, A. & Smirnova, E., 2015. "Strategic risk-management with the use of market risk indicator: A comparative longitudinal study in the emerging markets," Working Papers 6430, Graduate School of Management, St. Petersburg State University.
    2. Tsyplakov, Alexander, 2012. "Assessment of probabilistic forecasts: Proper scoring rules and moments," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 115-132.

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