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  5. GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics
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dc.contributor.authorEngle, Robert-
dc.date.accessioned2008-05-26T22:36:06Z-
dc.date.available2008-05-26T22:36:06Z-
dc.date.issued2001-10-
dc.identifier.urihttp://hdl.handle.net/2451/26577-
dc.description.abstractARCH 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.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-01-030en
dc.titleGARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometricsen
dc.typeWorking Paperen
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