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An introduction to univariate GARCH models

  • Teräsvirta, Timo

    ()

    (School of Economics and Management, University of Aarhus)

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

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File URL: http://swopec.hhs.se/hastef/papers/hastef0646.pdf
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Paper provided by Stockholm School of Economics in its series SSE/EFI Working Paper Series in Economics and Finance with number 646.

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Length: 30 pages
Date of creation: 03 Dec 2006
Date of revision:
Publication status: Published in Handbook of Financial Time Series, Andersen, Torben G., Davis, Richard A., Kreiss, Jens-Peter, Mikosch, Thomas (eds.), 2009, pages 17-42, Springer.
Handle: RePEc:hhs:hastef:0646
Note: This article has been prepared for Handbook of Financial Time Series, ed. by T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch. New York: Springer
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  20. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  21. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
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  24. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
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  26. Davidson, James, 2004. "Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 16-29, January.
  27. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
  28. Francis X. Diebold & Jose A. Lopez, 1995. "Modeling volatility dynamics," Research Paper 9522, Federal Reserve Bank of New York.
  29. Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
  30. Franc Klaassen, 2002. "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, vol. 27(2), pages 363-394.
  31. Jung-Hee Lee & B. Wade Brorsen, 1997. "A non-nested test of GARCH vs. EGARCH models," Applied Economics Letters, Taylor & Francis Journals, vol. 4(12), pages 765-768.
  32. Kim, Tae-Hwan & White, Halbert, 2004. "On more robust estimation of skewness and kurtosis," Finance Research Letters, Elsevier, vol. 1(1), pages 56-73, March.
  33. Yi-Ting Chen & Chung-Ming Kuan, 2000. "The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis," Econometric Society World Congress 2000 Contributed Papers 1723, Econometric Society.
  34. Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 245-69, July.
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  36. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  37. Ji-Chun Liu, 2006. "Stationarity of a Markov-Switching GARCH Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 573-593.
  38. Neil Shephard, 2005. "Stochastic volatility," Economics Series Working Papers 2005-W17, University of Oxford, Department of Economics.
  39. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
  40. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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  42. González-Rivera Gloria, 1998. "Smooth-Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(2), pages 1-20, July.
  43. repec:taf:apeclt:v:4:y:1997:i:12:p:765-68 is not listed on IDEAS
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