Glossary to ARCH (GARCH)
CREATES Research Paper 2008-49
46 Pages Posted: 4 Sep 2008
Date Written: September 4, 2008
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: Suggested Citation