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Generalized Autoregressive Conditional Heteroskedasticity (1986)
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| Venue: | JOURNAL OF ECONOMETRICS |
| Citations: | 2400 - 30 self |
BibTeX
@ARTICLE{Bollerslev86generalizedautoregressive,
author = {Tim Bollerslev},
title = {Generalized Autoregressive Conditional Heteroskedasticity},
journal = {JOURNAL OF ECONOMETRICS},
year = {1986},
volume = {31},
pages = {307--327}
}
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Abstract
A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an empirical example relating to the uncertainty of the inflation rate is presented.
Keyphrases
autoregressive conditional heteroskedasticity past conditional variance autocorrelation structure inflation rate new class natural generalization autoregressive conditional heteroskedastic parametric model current conditional variance equation maximum likelihood estimation stationarity condition empirical example
