GARCH 101: The use of ARCH/GARCH models in applied econometrics

Journal of Economic Perspectives

Volumn 15, Issue 4, 2001, Pages 157-168

  Engle, Robert ^a,b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039147699     PISSN: 08953309     EISSN: None     Source Type: Journal    
DOI: 10.1257/jep.15.4.157     Document Type: Article

References (14)

1. Bollerslev, Tim. 1986. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics. April, 31:3, pp. 307-27.
2. Bollerslev, Tim and Jeffrey M. Wooldridge. 1992. "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances." Econometric Reviews. 11:2, pp. 143-72.
3. Engle, Robert F. 1982. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica. 50:4, pp. 987-1007.
4. Engle, Robert and Gary G. J. Lee. 1999. "A Permanent and Transitory Component Model of Stock Return Volatility," in Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger. Robert F. Engle and Halbert White, eds. Oxford: Oxford University Press, pp. 475-97.
5. Engle, Robert F. and Simone Manganelli. 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles." Department of Economics, University of California, San Diego, Working Paper 99-20.
6. Engle, Robert F. and Simone Manganelli. 2001. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles." Manuscript, University of California, San Diego. Revision of NBER Working Paper No. W7341 (1999).
7. Engle, Robert F. and Joseph Mezrich. 1996. "GARCH for Groups." RISK. 9:8, pp. 36-40.
8. Engle, Robert F. and Victor Ng. 1993. "Measuring and Testing the Impact of News on Volatility." Journal of Finance. December, 48:5, pp. 1749-78.
9. Engle, Robert, Takatoshi Ito and Wen-Ling Lin. 1990. "Meteor Showers or Heat Waves? Het eroskedastic Intra-Daily Volatility in the Foreign Exchange Market." Econometrica. May, 58:3, pp. 525-42.
10. Engle, Robert, Victor Ng and M. Rothschild. 1992. "A Multi-Dynamic Factor Model for Stock Returns." Journal of Econometrics. April/May, 52: 1-2, pp. 245-66.
11. Glosten, Lawrence R., Ravi Jagannathan and David E. Runkle. 1993. "On the Relation Between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks." Journal of Finance. 48:5, pp. 1779-801.
12. Koenker, Roger and Gilbert Bassett. 1978. "Regression Quantiles." Econometrica. January, 46:1, pp. 33-50.
13. Nelson, Daniel B. 1991. "Conditional Heteroscedasticity in Asset Returns: A New Approach." Econometrica. 59:2, pp. 347-70.
14. Rabemananjara, R. and J. M. Zakoian. 1993. "Threshold Arch Models and Asymmetries in Volatility." Journal of Applied Econometrics. January/March, 8:1, pp. 31-49.