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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($q$): Definition and Properties
13.1.4 Estimation of an ARCH($q$) Model
13.1.5 Generalized ARCH (GARCH)
13.1.6 Estimation of GARCH($p,q$) Models
13.2 Extensions of the GARCH Model
13.3 Multivariate GARCH models
13.4 Recommended Literature