|
Archive@NYU >
Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26577
|
| Title: | GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics |
| Authors: | Engle, Robert |
| Issue Date: | Oct-2001 |
| Series/Report no.: | FIN-01-030 |
| 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. |
| URI: | http://hdl.handle.net/2451/26577 |
| Appears in Collections: | Finance Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
