Keyword

GARCH models

Description: GARCH models are statistical time-series methods that represent changing conditional volatility, commonly used to analyze and forecast financial returns.

Primary topic: Financial Risk and Volatility Modeling (69%)

OpenAlex ID: keywords/garch-models

Generalized autoregressive conditional heteroskedasticity

1986 · Tim Bollerslev · Journal of Econometrics · 22,278

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Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

1998 · Torben G. Andersen, Tim Bollerslev · International Economic Review · 3,377

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 · Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 3,219

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

1998 · Sangjoon Kim, Neil Shepherd, et al. · The Review of Economic Studies · 2,261

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Time Series Analysis and Its Applications

2017 · Robert H. Shumway, David S. Stoffer · Springer texts in statistics · 2,095

Modelling the persistence of conditional variances

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

Generalized autoregressive conditional heteroscedasticity

1986 · Tim Bollerslev · Medical Entomology and Zoology · 1,810

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

2000 · Alexander J. McNeil, Rüdiger Frey · Journal of Empirical Finance · 1,730

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

Persistence in Variance, Structural Change, and the GARCH Model

1990 · Christopher G. Lamoureux, William D. Lastrapes · Journal of Business and Economic Statistics · 1,185

The Garch Option Pricing Model

1995 · Jin‐Chuan Duan · Mathematical Finance · 1,131

Volatility estimation for Bitcoin: A comparison of GARCH models

2017 · Paraskevi Katsiampa · Economics Letters · 1,089

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Analysis of Financial Time Series

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

A Closed-Form GARCH Option Valuation Model

2000 · Steven L. Heston, Saikat Nandi · Review of Financial Studies · 972

Analysis of Financial Time Series

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

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

1994 · Wen-Ling Lin, Robert F. Engle, et al. · Review of Financial Studies · 873

Macroeconomic Factors Do Influence Aggregate Stock Returns

2002 · Mark J. Flannery, Aris A. Protopapadakis · Review of Financial Studies · 825

The Message in Daily Exchange Rates

2002 · Richard T Baillie, Tim Bollerslev · Journal of Business and Economic Statistics · 791

All in the family Nesting symmetric and asymmetric GARCH models

1995 · Ludger Hentschel · Journal of Financial Economics · 723

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A GARCH Forecasting Model to Predict Day-Ahead Electricity Prices

2005 · R.C. Garcia, J. Contreras, et al. · IEEE Transactions on Power Systems · 707

What good is a volatility model?

2001 · R.F. Engle, A.J. Patton · Quantitative Finance · 691

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Temporal Aggregation of Garch Processes

1993 · Feike C. Drost, Theo E. Nijman · Econometrica · 678

Stock market volatility and the information content of stock index options

1992 · Theodore E. Day, Craig M. Lewis · Journal of Econometrics · 667

Works count: 11,750

Citation count: 159,500