Impressum | |
13 | Time Series with Stochastic Volatility |
13.1 | ARCH and GARCH Models |
13.1.1 | ARCH(1): Definition and Properties |
13.1.2 | Estimation of ARCH(1) Models |
13.1.3 |
ARCH(![]() |
13.1.4 |
Estimation of an ARCH(![]() |
13.1.5 | Generalized ARCH (GARCH) |
13.1.6 |
Estimation of GARCH(![]() |
13.2 | Extensions of the GARCH Model |
13.3 | Multivariate GARCH models |
13.4 | Recommended Literature |