Generalized autoregressive conditional heteroscedasticity

DOI10.1016/0304-4076(86)90063-1zbMath0616.62119OpenAlexW1999996900WikidataQ29013119 ScholiaQ29013119MaRDI QIDQ1821471

Tim Bollerslev

Publication date: 1986

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(86)90063-1

zbMATH Keywords

Maximum likelihood estimationautocorrelation structureinflation rateautoregressive conditional heteroscedasticgeneralized ARCH processpast conditional variancesStationarity conditions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Two Methods for Examining the Stability of Regression Coefficients
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Maximum Likelihood Estimation of Misspecified Models