Keyword

ARCH models

Description: ARCH models are time-series statistical models that represent changing volatility through dependence of conditional variance on past observations or shocks.

Primary topic: Financial Risk and Volatility Modeling (66%)

Wikidata ID: wiki/Q180752

OpenAlex ID: keywords/arch-models

Generalized autoregressive conditional heteroskedasticity

1986 · Tim Bollerslev · Journal of Econometrics · 22,280

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 · Robert F. Engle · Econometrica · 20,649

ARCH modeling in finance

1992 · Tim Bollerslev, Ray Y. Chou, et al. · Journal of Econometrics · 4,285

Modeling and Forecasting Realized Volatility

2003 · Torben G. Andersen, Tim Bollerslev, et al. · Econometrica · 3,880

Measuring and Testing the Impact of News on Volatility

1993 · ROBERT F. ENGLE, VICTOR K. NG · The Journal of Finance · 3,690

A long memory property of stock market returns and a new model

1993 · Zhuanxin Ding, Clive W.J. Granger, et al. · Journal of Empirical Finance · 3,254

Threshold heteroskedastic models

1994 · Jean-Michel Zakoian · Journal of Economic Dynamics and Control · 2,292

Modelling the persistence of conditional variances

1986 · Robert F. Engle, Tim Bollerslev · Econometric Reviews · 2,067

Multivariate GARCH models: a survey

· Sébastien Laurent, Luc Bauwens, et al. · RePEc: Research Papers in Economics · 2,053

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1995 · Robert F Engle · 1,960

Correlations in Price Changes and Volatility across International Stock Markets

1990 · Yasushi Hamao, Ronald W. Masulis, et al. · Review of Financial Studies · 1,911

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

2005 · Peter R. Hansen, Asger Lunde · Journal of Applied Econometrics · 1,775

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Analysis of Financial Time Series

2005 · Ruey S. Tsay · Wiley series in probability and statistics · 1,349

Alternative models for conditional stock volatility

1990 · Adrian R. Pagan, G.William Schwert · Journal of Econometrics · 1,271

GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

2001 · Robert Engle · The Journal of Economic Perspectives · 1,220

Analysis of Financial Time Series

2010 · Ruey S. Tsay · Wiley series in probability and statistics · 1,029

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

1996 · TORBEN G. ANDERSEN · The Journal of Finance · 1,020

A Long Memory Property of Stock Market Returns and a New Model

2010 · Zhuanxin Ding, Robert F. Engle, et al. · Cambridge University Press eBooks · 981

ARCH models as diffusion approximations

1990 · Daniel B. Nelson · Journal of Econometrics · 943

Analysis of Financial Time Series

2002 · Ruey S. Tsay · Wiley series in probability and statistics · 902

The Econometric Analysis of Time Series.

1983 · L. G. Godfrey, A. C. Harvey · Economica · 900

Chapter 49 Arch models

1994 · Tim Bollerslev, Robert F. Engle, et al. · Handbook of econometrics · 879

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

1990 · Robert F. Engle, Takatoshi Ito, et al. · Econometrica · 840

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Modeling and Forecasting Realized Volatility

2001 · Torben G. Andersen, Tim Bollerslev, et al. · SSRN Electronic Journal · 824

Arch Models: Properties, Estimation and Testing

1993 · Anil K. Bera, Matthew L. Higgins · Journal of Economic Surveys · 786

Works count: 3,646

Citation count: 128,400