Generalized autoregressive conditional heteroscedasticity (Q1821471)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized autoregressive conditional heteroscedasticity |
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Generalized autoregressive conditional heteroscedasticity (English)
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1986
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A natural generalization of the ARCH (autoregressive conditional heteroscedastic) process inroduced by \textit{R. F. Engle} [Econometrica 50, 987-1008 (1982; Zbl 0491.62099)] 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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generalized ARCH process
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autoregressive conditional heteroscedastic
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past conditional variances
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Stationarity conditions
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autocorrelation structure
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Maximum likelihood estimation
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inflation rate
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