The story of GARCH: a personal odyssey

DOI10.1016/J.JECONOM.2023.01.015OpenAlexW4319017137MaRDI QIDQ2697967

Tim Bollerslev

Publication date: 14 April 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.01.015

zbMATH Keywords

GARCHrealized volatilityvolatility clusteringvolatility modeling and forecasting

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• ARCH modeling in finance. A review of the theory and empirical evidence
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Generalized autoregressive conditional heteroscedasticity
• ARCH models as diffusion approximations
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Modeling and Forecasting Realized Volatility
• Handbook of econometrics. Vol. 4

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