Department of Economics and Business Economics

Nonlinear models for autoregressive conditional heteroskedasticity

Research output: ResearchWorking paper

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  • Rp11 02

    Submitted manuscript, 259 KB, PDF-document

  • School of Economics and Management
  • Centre for Research in Econometric Analysis of Time Series (CREATES)
This paper contains a brief survey of nonlinear models of autore-
gressive conditional heteroskedasticity. The models in question are
parametric nonlinear extensions of the original model by Engle (1982).
After presenting the individual models, linearity testing and parameter
estimation are discussed. Forecasting volatility with nonlinear models
is considered. Finally, parametric nonlinear models based on multi-
plicative decomposition of the variance receive attention.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages29
StatePublished - 4 Jan 2011

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