GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY
GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY
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DOI：
10.1016/0304-4076(86)90063-1
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发表时间：
1986-04-01
影响因子：
6.3
通讯作者：
BOLLERSLEV, T
中科院分区：
文献类型：
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作者：
BOLLERSLEV, T
提出了Engle（1982）中引入的自回归条件异方差过程的一个自然推广，该过程允许当前条件方差方程中包含过去的条件方差。导出了这类新的参数模型的平稳性条件和自相关结构。最大似然估计和测试也被认为是。最后给出了一个关于通货膨胀率不确定性的实证例子。
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.