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Glossary to ARCH (GARCH)

  • Tim Bollerslev

    ()

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

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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File URL: ftp://ftp.econ.au.dk/creates/rp/08/rp08_49.pdf
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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
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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  3. Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157.
  4. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
  5. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
  7. repec:att:wimass:9002 is not listed on IDEAS
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