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