Generalized autoregressive conditional heteroskedasticity

@article{Bollerslev1986GeneralizedAC,
  title={Generalized autoregressive conditional heteroskedasticity},
  author={Tim Bollerslev},
  journal={Journal of Econometrics},
  year={1986},
  volume={31},
  pages={307-327}
}
  • Tim Bollerslev
  • Published 1 April 1986
  • Economics, Mathematics
  • Journal of Econometrics
A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an empirical example relating to the uncertainty of the inflation rate is presented. 

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