Journal of Econometrics
Выпуск N3 за 1986 год
Опубликовано на портале: 13-04-2004
Tim Bollerslev
Journal of Econometrics.
1986.
Vol. 31.
No. 3.
P. 307-327.
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.


