Generalized Autoregressive Conditional Heteroskedasticity.

Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.

Type

Journal article

Intellectual base

Primary research

Year

1986

DOI

10.1016/0304-4076(86)90063-1

Link

https://doi.org/10.1016/0304-4076(86)90063-1

Cited from

mathematics

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Stochastic Process
  • Should it be Markov (today's state sufficient for tomorrow's distribution) or should it carry memory (volatility clustering, where turbulent days follow turbulent days, demanding a GARCH or stochastic-volatility process whose dependence reaches back)?

    This sourceIntroduces GARCH for modeling volatility clustering — history-dependent (non-Markov) financial price processes.

Verification

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Registry ID ref:f5b13600cd01 · see in the full table