Living Reference Work Entry

The New Palgrave Dictionary of Economics

pp 1-10

Date: Latest Version

ARCH Models

  • Oliver B. LintonAffiliated with

Abstract

The ARCH model and its many generalizations are very important in analysing discrete time financial data. We review the properties of the original model and discuss many of the subsequent developments.

Keywords

ARCH models ARMA models Estimation Exponentially weighted moving average model Factor models GARCH models Generalized error distribution Heteroskedasticity IGARCH models Linear models Long memory models Multivariate models News impact curve Nonparametric models Semiparametric models Stationarity Time series analysis Unit roots

JEL Classifications

C22