The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
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.
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Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Self-citation
Cited by
Systemic risk measurement: Multivariate GARCH estimation of CoVaR
Girardi, G., & Tolga Ergün, A. (2013) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2013.02.027 · Cited by 650
Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?
CHUNG, H., LAFORTE, J., REIFSCHNEIDER, D., & WILLIAMS, J. C. (2012) · Journal of Money, Credit and Banking · doi:10.1111/j.1538-4616.2011.00478.x · Cited by 278
Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index
Vo, N., & Ślepaczuk, R. (2022) · Entropy · doi:10.3390/e24020158 · Cited by 39
Metadata
- Authors
- Engle, R.
- Venue
- Journal of Economic Perspectives
- Publisher
- American Economic Association
- Published
- 2001-11-01
- Volume
- 15
- Issue
- 4
- Pages
- 157-168
- ISSN
- 0895-3309 (ISSN-L)
- OpenAlex
- W2122016003
- Cited by
- 1,217
- References
- 1
- FWCI
- 15.85
- Type
- journal article
- Language
- en
- Open access
- closed
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- Engle, R. (2001). GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. Journal of Economic Perspectives. https://doi.org/10.1257/jep.15.4.157
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
