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3. Conditional Heteroscedastic Models 79
3.1 Characteristics of Volatility, 80
3.2 Structure of a Model, 81
3.3 The ARCH Model, 82
3.4 The GARCH Model, 93
3.5 The Integrated GARCH Model, 100
3.6 The GARCH-M Model, 101
3.7 The Exponential GARCH Model, 102
3.8 The CHARMA Model, 107
3.9 Random Coefficient Autoregressive Models, 109
3.10 The Stochastic Volatility Model, 110
3.11 The Long-Memory Stochastic Volatility Model, 110
3.12 An Alternative Approach, 112
3.13 Application, 114
3.14 Kurtosis of GARCH Models, 118
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