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An Introduction to Univariate GARCH Models

  • Timo TeräsvirtaEmail author
Chapter

Abstract

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard Generalized ARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

Keywords

Conditional Variance Stochastic Volatility GARCH Model Stochastic Volatility Model Return Series 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.CREATES Economics and Management,University of Aarhus, DK-8000 AarhusC, and Department of Economic Statistics, Stockholm School of EconomicsStockholm

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