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Fractionally integrated generalized autoregressive conditional heteroskedasticity

Journal of Econometrics · 1996 · Vol. 74(1) · pp. 3–30

Richard T. Baillie(Michigan State University)Tim Bollerslev✉(University of Virginia)Hans Ole Mikkelsen(University of Southern California)

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Market Dynamics and VolatilityAutoregressive conditional heteroskedasticityHeteroscedasticityAutoregressive modelEconometricsMathematicsConditional varianceStatisticsEconomicsVolatility (finance)

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

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ARCH models as diffusion approximations

Journal of Econometrics · 1990 · 957 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

The Review of Economics and Statistics · 1987 · 2,583 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

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On a measure of lack of fit in time series models

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