Robert F. Engle

Journal of Economic Perspectives, 2001, vol. 15, issue 4, pages 157-168

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 forecast volatility. This paper gives the motivation behind the simplest GARCH model and illustrates its usefulness in examining portfolio risk. Extensions are briefly discussed.

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[此贴子已经被作者于2005-11-18 16:58:31编辑过]