6 | AutoRegressive Conditional Heteroscedastic Models |
6.1 | Introduction |
6.2 | ARCH(1) Model |
6.3 | ARCH(q) Model |
6.4 | Testing Heteroscedasticity and ARCH(1) Disturbances |
6.5 | ARCH(1) Regression Model |
6.6 | GARCH(p,q) Model |
6.7 | Extensions of ARCH Models |
6.8 | Two Examples of Spanish Financial Markets |
6.8.1 | Ibex35 Data |
6.8.2 | Exchange Rate US Dollar/Spanish Peseta Data (Continued) |
Bibliography |