GARCH 101: The use of ARCH/GARCH models in applied econometrics

被引：459

作者：

Engle, R ^{[1
]}

机构：

[1] NYU, Stern Sch Business, New York, NY 10006 USA

[2] Univ Calif San Diego, La Jolla, CA 92093 USA

来源：

JOURNAL OF ECONOMIC PERSPECTIVES | 2001年 / 15卷 / 04期

关键词：

D O I：

10.1257/jep.15.4.157

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

ARCH and GARCH models have become important tools in the analysis of time series data, particularly in financial applications. These models are especially useful when the goal of the study is to analyze and forecast volatility. This paper gives the motivation behind the simplest GARCH model and illustrates its usefulness in examining portfolio risk. Extensions are briefly discussed.

引用

页码：157 / 168

页数：12

共 14 条

[1] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].