Nonlinear models for autoregressive conditional heteroskedasticity

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  • Institut for Økonomi
  • Center for Tidsrækkeøkonometri (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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider29
StatusUdgivet - 4 jan. 2011

    Forskningsområder

  • nonlinear ARCH, nonlinear GARCH, neural network,

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