Glossary to ARCH (GARCH)

CREATES Research Paper 2008-49

46 Pages Posted: 4 Sep 2008

See all articles by Tim Bollerslev

Tim Bollerslev

Duke University - Finance; Duke University - Department of Economics; National Bureau of Economic Research (NBER)

Date Written: September 4, 2008

Abstract

The literature on modeling and forecasting time-varying volatility is ripe with acronyms and abbreviations used to describe the many different parametric models that have been put forth since the original linear ARCH model introduced in the seminal Nobel Prize winning paper by Engle (1982). The present paper provides an easy-to-use encyclopedic reference guide to this long list of ARCH acronyms. In addition to the acronyms associated with specific parametric models, I have also included descriptions of various abbreviations associated with more general statistical procedures and ideas that figure especially prominently in the ARCH literature.

Keywords: (G)ARCH, Volatility models

JEL Classification: C22

Suggested Citation

Bollerslev, Tim, Glossary to ARCH (GARCH) (September 4, 2008). CREATES Research Paper 2008-49. Available at SSRN: https://ssrn.com/abstract=1263250 or http://dx.doi.org/10.2139/ssrn.1263250

Tim Bollerslev (Contact Author)

Duke University - Finance ( email )

Durham, NC 27708-0120
United States
919-660-1846 (Phone)
919-684-8974 (Fax)

Duke University - Department of Economics

213 Social Sciences Building
Box 90097
Durham, NC 27708-0204
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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