Skip to main content
Book Chapter

An Introduction to Univariate GARCH Models

  • Teräsvirta T
Springer Berlin Heidelberg, (2009), 17-42
DOI: 10.1007/978-3-540-71297-8_1
N/ACitations
Citations of this article
154Readers
Mendeley users who have this article in their library.
Get full text

Abstract

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

Cite

CITATION STYLE

APA

Teräsvirta, T. (2009). An Introduction to Univariate GARCH Models. In Handbook of Financial Time Series (pp. 17–42). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_1

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free