6 AutoRegressive Conditional Heteroscedastic Models
6.1 Introduction
6.2 ARCH(1) Model
6.2.1 Conditional and Unconditional Moments of the ARCH(1)
6.2.2 Estimation for ARCH(1) Process
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
Bibliography