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It was first observed by Engle (1982) that although many financial time series, such as, stock returns and
exchange rates are unpredictable, there is apparent clustering in the variability or volatility. This is often
referred to as conditional heteroscedascity since it is assumed that overall the series is stationary but the the
conditional expected value of the variance may be time-dependent.
Many different time series models have been suggested. We will only study the ARCH/GARCH family. The
ARCH/GARCH is not available in most standard statistical software systems such as R, S-Plus, SPSS or Mathematica.
But it is available in the S-Plus module Finmetrics and is the free software JMulti. RATS is another
software package with ARCH/GARCH models. There are many other more specialized packages for sale.
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