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Univariate ARCH Models

  • Christian Gouriéroux
Part of the Springer Series in Statistics book series (SSS)

Abstract

The aim of this chapter is to describe the major specifications with conditional heteroscedasticity found in the literature. We first present an autoregressive model of order one with heteroscedastic errors. This simple example allows us to study in detail the existence conditions of the process and to discuss its main properties. We then discuss the different possible extensions of the basic model and show how the results derived for a simple case may be generalized.

Keywords

Conditional Variance GARCH Model Recursive Equation Arch Model Unconditional Variance 
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 Science+Business Media New York 1997

Authors and Affiliations

  • Christian Gouriéroux
    • 1
  1. 1.Centre de Recherche en Economie et StatistiqueLaboratoire de Finance-AssuranceMalakoff CedexFrance

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