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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev
University of California at San Diego, La Jolla, CA 92093, USA

Institute of Economics, University of Aarhus, Denmark


Available online 27 September 2002.



Abstract

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.