A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN

@article{Bollerslev1987ACH,
  title={A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN},
  author={Tim Bollerslev},
  journal={The Review of Economics and Statistics},
  year={1987},
  volume={69},
  pages={542-547}
}
  • Tim Bollerslev
  • Published 1987
  • Economics
  • The Review of Economics and Statistics
The distribution of speculative price changes and rates of return data tend to be uncorrelated over time but characterized by volatile and tranquil periods. A simple time series model designed to capture this dependence is presented. The model is an extension of the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH) models obtained by allowing for conditionally t-distributed errors. The model can be derived as a simple subordinate stochastic process by including an… Expand

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