Hansen, Peter Reinhard (contributor); … - 2003 - [Elektronische Ressource]
specifications, start-
ing with the ARCH model of Engle (1982) and the GARCH model of Bollerslev (1986). This gives
practitioners a …)/σ
t
, to be Gaussian. The parametric specifications for σ
t
include
the GARCH model of Bollerslev (1986), the IGARCH model …, the Taylor (1986)/Schwert (1989) TS-
GARCH model, the A-GARCH, the NA-GARCH and the V-GARCH models suggested by Engle &
Ng …