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GARCH

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AcronymDefinition
GARCHGeneralized Autoregressive Conditional Heteroskedasticity


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? References in periodicals archive
Bollerslev (1986) generalized the ARCH models to the GARCH models, which are capable of describing the feature of volatility clustering and other characteristics of financial time series.
Risk management: an analysis of the low-tail behavior of high ... by Alvarez, Susana / Journal of Academy of Business and Economics
The Standard EWMA estimator is a special case of generalized autoregressive conditional heteroscedasticity, or a GARCH model (Engle, 1982; Bollerslev, 1986).
Fat--tails and VaR estimation using power EWMA models by Lee, Hsien-Feng / Journal of Academy of Business and Economics
This paper investigates the heteroskedastic behavior of the Indian stock market using 'vanilla' GARCH (1, 1) model for a period of about 24 years from January 1980 to June 2003.
Heteroskedastic behavior of the Indian stock market: evidence and ... by Karmakar, Madhusudan / Journal of Academy of Business and Economics
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