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.
KeywordsARCH 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
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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