GARCH 101: An Introduction to the Use of Arch/Garch Models in Applied Econometrics

25 Pages Posted: 3 Nov 2008

See all articles by Robert F. Engle

Robert F. Engle

New York University - Leonard N. Stern School of Business - Department of Economics; New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

Date Written: October 2001

Abstract

ARCH and GARCH models have become important tools in the analysis of time series data, particularly in financial applications. These models are especially useful when the goal of the study is to analyze and forecastvolatility. This paper gives the motivation behind the simplest GARCH model and illustrates its usefulness in examining portfolio risk. Extensions are briefly discussed.

Suggested Citation

Engle, Robert F., GARCH 101: An Introduction to the Use of Arch/Garch Models in Applied Econometrics (October 2001). NYU Working Paper No. FIN-01-030. Available at SSRN: https://ssrn.com/abstract=1294571

Robert F. Engle (Contact Author)

New York University - Leonard N. Stern School of Business - Department of Economics ( email )

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New York University (NYU) - Department of Finance

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