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Generalized autoregressive conditional heteroskedasticity

198622,026 citationsJournal Article

Authors

Tim Bollerslev · University of California, San Diego

Topics & Keywords

Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Market Dynamics and Volatility

UN Sustainable Development Goals

Decent work and economic growth

Publication Details

Published in: Journal of Econometrics

Volume 31, Issue 3, pp. 307-327

DOI: 10.1016/0304-4076(86)90063-1

Field-Weighted Citation Impact: 34.24

Generalized autoregressive conditional heteroskedasticity | Researchclopedia