European Business Schools Librarian's Group

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 646: An introduction to univariate GARCH models

Timo Teräsvirta ()
Additional contact information
Timo Teräsvirta: School of Economics and Management, University of Aarhus, Postal: Building 1322, DK-8000 Aarhus C, Denmark

Abstract: This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

Keywords: ARCH; conditional heteroskedasticity; GARCH; nonlinear GARCH; volatility modelling

JEL-codes: C22

30 pages, December 3, 2006

Note: This article has been prepared for Handbook of Financial Time Series, ed. by T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch. New York: Springer

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