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
6.4.1 The Breusch-Pagan Test
6.4.2 ARCH(1) Disturbance Test
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
Bibliography