IDEAS home Printed from https://ideas.repec.org/p/wop/pennhp/_062.html
   My bibliography  Save this paper

Modeling Volatility Dynamics

Author

Abstract

Many economic and financial time series have been found to exhibit dynamics in variance; that is, the second moment of the time series innovations varies over time. Many possible model specifications are available to capture this phenomena, but to date, the class of models most widely used are autoregressive conditional heteroskedasticity (ARCH) models. ARCH models provide parsimonious approximations to volatility dynamics and have found wide use in macroeconomics and finance. The family of ARCH models is the subject of this paper. In section II, we sketch the rudiments of a rather general univariate time-series model, allowing for dynamics in both the conditional mean and variance. In section III, we provide motivation for the models. In section IV, we discuss the properties of the models in depth, and in section V, we discuss issues related to estimation and testing. In Section VI, we detail various important extensions and applications of the model. We conclude in section VII with speculations on productive directions for future research.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Diebold & Lopez, "undated". "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
  • Handle: RePEc:wop:pennhp:_062
    as

    Download full text from publisher

    File URL: ftp://ftp.ssc.upenn.edu/pub/people/diebold/paper9/paar.pdf
    Download Restriction: no

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wop:pennhp:_062. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel). General contact details of provider: http://edirc.repec.org/data/deupaus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.