The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

ARCH Models

  • Oliver B. Linton
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2244

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.

Keywords

ARCH 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 

JEL Classifications

C22 
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Notes

Acknowledgment

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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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Oliver B. Linton
    • 1
  1. 1.