Complex Systems in Finance and Econometrics

2011 Edition
| Editors: Robert A. Meyers (Editor-in-Chief)

GARCH Modeling

  • Christian M. Hafner
Reference work entry

Article Outline


Definition of the Subject


Properties of the GARCH(1,1) Model

Estimation and Inference

Testing for ARCH

Asymmetry, Long Memory, GARCH-in-Mean

Non- and Semi-parametric Models

Multivariate GARCH Models

Stochastic Volatility


Future Directions



Conditional Variance GARCH Model Capital Asset Price Model Stochastic Volatility Model Tail Index 
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 2009

Authors and Affiliations

  • Christian M. Hafner
    • 1
  1. 1.Université catholique de LouvainLouvain-la-NeuveBelgium