ARCH models
Linton, Oliver B.
(2008)
ARCH models.
In:
The New Palgrave Dictionary of Economics.
Palgrave Macmillan, Hampshire, UK, pp. 205-212.
ISBN 9780333786765
The ARCH model and its many generalizations are very important in analysing discrete time financial data. We review the properties of the original model and discuss many of the subsequent developments.
| Item Type | Chapter |
|---|---|
| Keywords | ARCH models,ARMA models,estimation,exponentially weighted moving average model,factor models,GARCH models,generalized error distribution,heteroskedasticity,IGARCH models,linear models,long memory models,multivariate models,news impact curve,nonparametric models,semiparametric models,stationarity,time series analysis,unit roots |
| Departments |
Economics STICERD Financial Markets Group |
| DOI | 10.1057/9780230226203.0054 |
| Date Deposited | 05 May 2011 12:56 |
| URI | https://researchonline.lse.ac.uk/id/eprint/35857 |