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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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  6. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus.
  7. 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.
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  13. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, School of Economics and Management, University of Aarhus.
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  20. 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.
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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. Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September.
  28. Franc Klaassen, 2002. "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, vol. 27(2), pages 363-394.
  29. Friedman, Milton, 1977. "Nobel Lecture: Inflation and Unemployment," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 451-72, June.
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  32. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  33. 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.
  34. Cai, Jun, 1994. "A Markov Model of Switching-Regime ARCH," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 309-16, July.
  35. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004.
  36. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  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. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  39. 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.
  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. 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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