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ARCH, GARCH and Time-Varying Variance

In: Time Series Econometrics

Author

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  • John D. Levendis

    (Loyola University New Orleans)

Abstract

To this point, we have considered non-stationary means, but strictly speaking, non-stationarity could apply to any of the moments of a random variable: the mean, variance, skewness, kurtosis, etc… Finance especially is concerned with the non-stationarity of variance.

Suggested Citation

  • John D. Levendis, 2018. "ARCH, GARCH and Time-Varying Variance," Springer Texts in Business and Economics, in: Time Series Econometrics, chapter 9, pages 197-261, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-98282-3_9
    DOI: 10.1007/978-3-319-98282-3_9
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