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The New Palgrave Dictionary of Economics pp 1–10Cite as

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ARCH Models

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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.

This chapter was originally published in The New Palgrave Dictionary of Economics, 2nd edition, 2008. Edited by Steven N. Durlauf and Lawrence E. Blume

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Acknowledgement

The author would like to thank the Economic and Social Science Research Council of the United Kingdom for financial support through a research fellowship.

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    Oliver B. Linton

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  1. Oliver B. Linton
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    Linton, O.B. (2008). ARCH Models. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2244-1

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    • DOI: https://doi.org/10.1057/978-1-349-95121-5_2244-1

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    • Online ISBN: 978-1-349-95121-5

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