International Journal Open Access

Generalized autoregressive conditional heteroskedasticity

Authors

Tim Bollerslev

Journal

Journal of Econometrics

Year Published

1986

Publisher

Elsevier BV

Citations

22688 citations

Type

Article

Language

EN

Topics & Concepts

Conditional variance (0.83) Heteroscedasticity (0.80) Autoregressive conditional heteroskedasticity (0.76) Econometrics (0.74) Mathematics (0.67)

Abstract

Generalized autoregressive conditional heteroskedasticity - Full text available via OpenAlex

Author Details

Tim Bollerslev

ORCID
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