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
6.6.1 GARCH(1,1) Model
6.7 Extensions of ARCH Models
6.8 Two Examples of Spanish Financial Markets
Bibliography