Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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Publication:3953065
DOI10.2307/1912773zbMath0491.62099OpenAlexW1979575715WikidataQ55880289 ScholiaQ55880289MaRDI QIDQ3953065
Publication date: 1982
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/f2fcd5b60e5696bc6f8e01731b2f635758cd504d
maximum likelihood estimatorsordinary least squaresARCH processLagrange multiplier procedureautoregressive conditionally heteroscedastic processesnonconstant variancesUnited Kingdom inflation
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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