Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

DOI10.2307/1912773zbMath0491.62099OpenAlexW1979575715WikidataQ55880289 ScholiaQ55880289MaRDI QIDQ3953065

Robert F. Engle

Publication date: 1982

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/f2fcd5b60e5696bc6f8e01731b2f635758cd504d

zbMATH Keywords

maximum likelihood estimatorsordinary least squaresARCH processLagrange multiplier procedureautoregressive conditionally heteroscedastic processesnonconstant variancesUnited Kingdom inflation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)