GARCH 101- The Use of ARCH-GARCH Models in Applied Econometrics

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ctex777 发表于 2005-11-6 22:01:00 |AI写论文

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Robert F. Engle

Journal of Economic Perspectives, 2001, vol. 15, issue 4, pages 157-168

Abstract: ARCH and GARCH models have become important tools in the analysis of time series data, particularly in financial applications. These models are especially useful when the goal of the study is to analyze and forecast volatility. This paper gives the motivation behind the simplest GARCH model and illustrates its usefulness in examining portfolio risk. Extensions are briefly discussed.

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