Keywords
Conditional varianceHeteroscedasticityAutoregressive conditional heteroskedasticityEconometricsMathematicsAutoregressive modelAutocorrelationGeneralizationStatisticsConditional probability distributionConditional expectationApplied mathematicsVolatility (finance)
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Publication Info
- Year
- 1986
- Type
- article
- Volume
- 31
- Issue
- 3
- Pages
- 307-327
- Citations
- 21675
- Access
- Closed
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Cite This
Tim Bollerslev
(1986).
Generalized autoregressive conditional heteroskedasticity.
Journal of Econometrics
, 31
(3)
, 307-327.
https://doi.org/10.1016/0304-4076(86)90063-1
Identifiers
- DOI
- 10.1016/0304-4076(86)90063-1