Editing Autoregressive conditional heteroskedasticity

{{short description|Time series model}}
{{other uses|Arch (disambiguation)}}
{{Use dmy dates|date=October 2017}}
In [[econometrics]], the '''autoregressive conditional heteroskedasticity''' ('''ARCH''') model is a [[statistical model]] for [[time series]] data that describes the [[variance]] of the current [[Errors and residuals in statistics|error term]] or [[Innovation (signal processing)|innovation]] as a function of the actual sizes of the previous time periods' error terms;<ref>{{cite journal |jstor=1912773 |title=Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation |author-link=Robert F. Engle |last=Engle |first=Robert F. |journal=[[Econometrica]] |volume=50 |issue=4 |year=1982 |pages=987–1007 |doi=10.2307/1912773 }}</ref> often the variance is related to the squares of the previous innovations. The ARCH model is appropriate when the error variance in a time series follows an [[autoregressive]] (AR) model; if an [[autoregressive moving average model|autoregressive moving average]] (ARMA) model is assumed for the error variance, the model is a '''generalized autoregressive conditional heteroskedasticity''' ('''GARCH''') model.<ref name="GARCH 1986">{{cite journal |author-link=Tim Bollerslev |last=Bollerslev |first=Tim |year=1986 |title=Generalized Autoregressive Conditional Heteroskedasticity |journal=[[Journal of Econometrics]] |volume=31 |issue=3 |pages=307–327 |doi=10.1016/0304-4076(86)90063-1 |citeseerx=10.1.1.468.2892 |s2cid=8797625 }}</ref>

ARCH models are commonly employed in modeling [[mathematical finance|financial]] [[time series]] that exhibit time-varying [[volatility (finance)|volatility]] and [[volatility clustering]], i.e. periods of swings interspersed with periods of relative calm (this is, when the time series exhibits heteroskedasticity). ARCH-type models are sometimes considered to be in the family of [[stochastic volatility]] models, although this is strictly incorrect since at time ''t'' the volatility is completely predetermined (deterministic) given previous values.<ref>{{cite book |last=Brooks |first=Chris |author-link=Chris Brooks (academic) |date=2014 |title=Introductory Econometrics for Finance |edition=3rd |location=Cambridge |publisher=Cambridge University Press |page=461 |isbn=9781107661455}}</ref>

==Model specification==

To model a time series using an ARCH process, let <math> ~\epsilon_t~ </math>denote the error terms (return residuals, with respect to a mean process), i.e. the series terms. These <math> ~\epsilon_t~ </math> are split into a stochastic piece <math>z_t</math> and a time-dependent standard deviation <math>\sigma_t</math> characterizing the typical size of the terms so that

:<math> ~\epsilon_t=\sigma_t z_t ~</math>

The random variable <math>z_t</math> is a strong [[white noise]] process. The series <math> \sigma_t^2 </math> is modeled by

:<math> \sigma_t^2=\alpha_0+\alpha_1 \epsilon_{t-1}^2+\cdots+\alpha_q \epsilon_{t-q}^2 = \alpha_0 + \sum_{i=1}^q \alpha_{i} \epsilon_{t-i}^2 </math>,
:where <math> ~\alpha_0>0~ </math> and <math> \alpha_i\ge 0,~i>0</math>.

An ARCH(''q'') model can be estimated using [[Least squares|ordinary least squares]]. A method for testing whether the residuals <math> \epsilon_t </math> exhibit time-varying heteroskedasticity using the [[Lagrange multiplier test]] was proposed by [[Robert F. Engle|Engle]] (1982). This procedure is as follows:

# Estimate the best fitting [[autoregressive model]] AR(''q'') <math> y_t = a_0 + a_1 y_{t-1} + \cdots + a_q y_{t-q} + \epsilon_t = a_0 + \sum_{i=1}^q a_i y_{t-i} + \epsilon_t </math>.
# Obtain the squares of the error <math> \hat \epsilon^2 </math> and regress them on a constant and ''q'' lagged values:
#: <math> \hat \epsilon_t^2 = \alpha_0 + \sum_{i=1}^{q} \alpha_i \hat \epsilon_{t-i}^2</math>
#: where ''q'' is the length of ARCH lags.
#The [[null hypothesis]] is that, in the absence of ARCH components, we have <math> \alpha_i = 0 </math> for all <math> i = 1, \cdots, q </math>. The alternative hypothesis is that, in the presence of ARCH components, at least one of the estimated <math> \alpha_i </math> coefficients must be significant. In a sample of ''T'' residuals under the null hypothesis of no ARCH errors, the test statistic ''T'R²'' follows <math> \chi^2 </math> distribution with ''q'' degrees of freedom, where <math> T' </math> is the number of equations in the model which fits the residuals vs the lags (i.e. <math> T'=T-q </math>). If ''T'R²'' is greater than the Chi-square table value, we ''reject'' the null hypothesis and conclude there is an ARCH effect in the [[Autoregressive moving average model|ARMA model]]. If ''T'R²'' is smaller than the Chi-square table value, we do not reject the null hypothesis.

==GARCH==

If an [[autoregressive moving average model|autoregressive moving average]] (ARMA) model is assumed for the error variance, the model is a generalized autoregressive conditional heteroskedasticity (GARCH) model.<ref name="GARCH 1986" />

In that case, the GARCH (''p'', ''q'') model (where ''p'' is the order of the GARCH terms <math> ~\sigma^2 </math> and ''q'' is the order of the ARCH terms <math> ~\epsilon^2 </math> ), following the notation of the original paper, is given by

<math> y_t=x'_t b +\epsilon_t  </math>

<math> \epsilon_t| \psi_{t-1} \sim\mathcal{N}(0, \sigma^2_t) </math>

<math> \sigma_t^2=\omega + \alpha_1 \epsilon_{t-1}^2 + \cdots + \alpha_q \epsilon_{t-q}^2 + \beta_1 \sigma_{t-1}^2 + \cdots + \beta_p\sigma_{t-p}^2 = \omega + \sum_{i=1}^q \alpha_i \epsilon_{t-i}^2 + \sum_{i=1}^p \beta_i \sigma_{t-i}^2 </math>

Generally, when testing for heteroskedasticity in econometric models, the best test is the [[White test]]. However, when dealing with [[time series]] data, this means to test for ARCH and GARCH errors.

Exponentially weighted [[Moving-average model|moving average]] (EWMA) is an alternative model in a separate class of exponential smoothing models. As an alternative to GARCH modelling it has some attractive properties such as a greater weight upon more recent observations, but also drawbacks such as an arbitrary decay factor that introduces subjectivity into the estimation.

===GARCH(''p'', ''q'') model specification===

The lag length ''p'' of a GARCH(''p'', ''q'') process is established in three steps:

# Estimate the best fitting AR(''q'') model
#: <math> y_t = a_0 + a_1 y_{t-1} + \cdots + a_q y_{t-q} + \epsilon_t = a_0 + \sum_{i=1}^q a_i y_{t-i} + \epsilon_t </math>.
# Compute and plot the autocorrelations of <math> \epsilon^2 </math> by
#: <math> \rho(i) = {{\sum^T_{t=i+1} (\hat \epsilon^2_t - \hat \sigma^2_t) (\hat \epsilon^2_{t-i} - \hat \sigma^2_{t-i})} \over {\sum^T_{t=1} (\hat \epsilon^2_t - \hat \sigma^2_t)^2}} </math>
# The asymptotic, that is for large samples, standard deviation of <math> \rho (i) </math> is <math> 1/\sqrt{T} </math>. Individual values that are larger than this indicate GARCH errors. To estimate the total number of lags, use the [[Ljung–Box test]] until the value of these are less than, say, 10% significant. The Ljung–Box [[Ljung-Box test|Q-statistic]] follows <math> \chi^2 </math> distribution with ''n'' degrees of freedom if the squared residuals <math> \epsilon^2_t </math> are uncorrelated. It is recommended to consider up to T/4 values of ''n''. The null hypothesis states that there are no ARCH or GARCH errors. Rejecting the null thus means that such errors exist in the [[conditional variance]].

===NGARCH===
{{expand section|<ref name="Nonlinear GARCH 2005">{{cite journal|last1=Lanne|first1=Markku|last2=Saikkonen|first2=Pentti|title=Non-linear GARCH models for highly persistent volatility|journal=The Econometrics Journal|date=July 2005|volume=8|issue=2|pages=251–276|doi=10.1111/j.1368-423X.2005.00163.x|jstor=23113641|hdl=10419/65348 |s2cid=15252964|url=https://edoc.hu-berlin.de/bitstream/18452/4120/1/20.pdf}}</ref><ref name="ARCH/GARCH model glossary">{{cite book | last1=Bollerslev | first1=Tim | last2=Russell | first2=Jeffrey | last3=Watson | first3=Mark | title=Volatility and Time Series Econometrics: Essays in Honor of Robert Engle | date=May 2010 | publisher=Oxford University Press | location=Oxford | isbn=9780199549498 | pages=137–163 | edition=1st | chapter=Chapter 8: Glossary to ARCH (GARCH) | chapter-url=http://public.econ.duke.edu/~boller/Published_Papers/glossary_10.pdf | access-date=27 October 2017 }}</ref>|date=October 2017}}

====NAGARCH====

'''Nonlinear Asymmetric GARCH(1,1)''' ('''NAGARCH''') is a model with the specification:<ref name="NGARCH EGARCH 1983" /><ref name="NAGARCH(1,1)" />
:<math> ~\sigma_{t}^2= ~\omega + ~\alpha  (~\epsilon_{t-1} - ~\theta~\sigma_{t-1})^2 + ~\beta  ~\sigma_{t-1}^2</math>,
:where <math> ~\alpha\geq 0 , ~\beta \geq 0 , ~\omega > 0 </math> and <math> ~\alpha (1 + ~\theta^2) + ~\beta < 1 </math>, which ensures the non-negativity and stationarity of the variance process.
For stock returns, parameter <math>~ \theta</math> is usually estimated to be positive; in this case, it reflects a phenomenon commonly referred to as the "leverage effect", signifying that negative returns increase future volatility by a larger amount than positive returns of the same magnitude.<ref name="NGARCH EGARCH 1983">{{cite journal|last1=Engle|first1=Robert F.|last2=Ng|first2=Victor K.|title=Measuring and testing the impact of news on volatility|journal=Journal of Finance|year=1993|volume=48|issue=5|pages=1749–1778|ssrn=262096|doi=10.1111/j.1540-6261.1993.tb05127.x|url=http://www.finance.martinsewell.com/stylized-facts/volatility/EngleNg1993.pdf|quote=It is not yet clear in the finance literature that the asymmetric properties of variances are due to changing leverage. The name "leverage effect" is used simply because it is popular among researchers when referring to such a phenomenon.|doi-access=free}}</ref><ref name="NAGARCH(1,1)">{{cite journal|last=Posedel|first=Petra|year=2006|title=Analysis Of The Exchange Rate And Pricing Foreign Currency Options On The Croatian Market: The Ngarch Model As An Alternative To The Black Scholes Model|journal=Financial Theory and Practice|volume=30|issue=4|pages=347–368|url=http://www.ijf.hr/eng/FTP/2006/4/posedel.pdf | quote = Special attention to the model is given by the parameter of asymmetry [theta (θ)] which describes the correlation between returns and variance.<sup>6</sup>&nbsp;...<br /><sup>6</sup> In the case of analyzing stock returns, the positive value of [theta] reflects the empirically well known leverage effect indicating that a downward movement in the price of a stock causes more of an increase in variance more than a same value downward movement in the price of a stock, meaning that returns and variance are negatively correlated}}</ref>

This model should not be confused with the NARCH model, together with the NGARCH extension, introduced by Higgins and Bera in 1992.<ref>{{cite journal|last1=Higgins|first1=M.L|last2=Bera|first2=A.K|title=A Class of Nonlinear Arch Models|journal=International Economic Review|date=1992|volume=33|issue=1|pages=137–158|jstor=2526988|doi=10.2307/2526988}}</ref>

===IGARCH===

Integrated Generalized Autoregressive Conditional heteroskedasticity (IGARCH) is a restricted version of the GARCH model, where the persistent parameters sum up to one, and imports a [[unit root]] in the GARCH process.<ref>{{Cite journal |last1=Caporale |first1=Guglielmo Maria |last2=Pittis |first2=Nikitas |last3=Spagnolo |first3=Nicola |date=October 2003 |title=IGARCH models and structural breaks |url=http://www.tandfonline.com/doi/abs/10.1080/1350485032000138403 |journal=Applied Economics Letters |language=en |volume=10 |issue=12 |pages=765–768 |doi=10.1080/1350485032000138403 |issn=1350-4851}}</ref> The condition for this is

<math>
\sum^p_{i=1} ~\beta_{i} +\sum_{i=1}^q~\alpha_{i} = 1
</math>.

===EGARCH===

The exponential generalized autoregressive conditional heteroskedastic (EGARCH) model by Nelson & Cao (1991) is another form of the GARCH model. Formally, an EGARCH(p,q):

<math>\log\sigma_{t}^2=\omega+\sum_{k=1}^{q}\beta_{k}g(Z_{t-k})+\sum_{k=1}^{p}\alpha_{k}\log\sigma_{t-k}^{2}</math>

where <math>g(Z_{t})=\theta Z_{t}+\lambda(|Z_{t}|-E(|Z_{t}|))</math>, <math>\sigma_{t}^{2}</math> is the [[conditional variance]], <math>\omega</math>, <math>\beta</math>, <math>\alpha</math>, <math>\theta</math> and <math>\lambda</math> are coefficients. <math>Z_{t}</math> may be a [[standard normal variable]] or come from a [[generalized error distribution]]. The formulation for <math>g(Z_{t})</math> allows the sign and the magnitude of <math>Z_{t}</math> to have separate effects on the volatility. This is particularly useful in an asset pricing context.<ref>{{cite journal |last=St. Pierre |first=Eilleen F. |year=1998 |title=Estimating EGARCH-M Models: Science or Art |journal=The Quarterly Review of Economics and Finance |volume=38 |issue=2 |pages=167–180 |doi=10.1016/S1062-9769(99)80110-0 }}</ref><ref>{{cite journal |last1=Chatterjee |first1=Swarn |last2=Hubble | first2=Amy | year=2016 | title=Day-Of-The-Whieek Effect In Us Biotechnology Stocks—Do Policy Changes And Economic Cycles Matter? | journal=Annals of Financial Economics |volume=11 |issue=2 |pages=1–17 |doi=10.1142/S2010495216500081 }}</ref>

Since <math>\log\sigma_{t}^{2}</math> may be negative, there are no sign restrictions for the parameters.

===GARCH-M===

The GARCH-in-mean (GARCH-M) model adds a heteroskedasticity term into the mean equation. It has the specification:

<math>
y_t = ~\beta x_t + ~\lambda ~\sigma_t + ~\epsilon_t
</math>

The residual <math> ~\epsilon_t </math> is defined as:

<math>
~\epsilon_t = ~\sigma_t ~\times z_t
</math>

===QGARCH===

The Quadratic GARCH (QGARCH) model by Sentana (1995) is used to model asymmetric effects of positive and negative shocks.

In the example of a GARCH(1,1) model, the residual process <math> ~\sigma_t </math> is

<math>
~\epsilon_t = ~\sigma_t z_t
</math>

where <math> z_t </math> is i.i.d. and

<math>
~\sigma_t^2 = K + ~\alpha ~\epsilon_{t-1}^2 + ~\beta ~\sigma_{t-1}^2 + ~\phi ~\epsilon_{t-1}
</math>

===GJR-GARCH===

Similar to QGARCH, the Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) model by Glosten, Jagannathan and Runkle (1993) also models asymmetry in the ARCH process. The suggestion is to model <math> ~\epsilon_t = ~\sigma_t z_t </math> where <math> z_t </math> is i.i.d., and

<math>
~\sigma_t^2 = K + ~\delta ~\sigma_{t-1}^2 + ~\alpha ~\epsilon_{t-1}^2 + ~\phi ~\epsilon_{t-1}^2 I_{t-1}
</math>

where <math> I_{t-1} = 0 </math> if <math> ~\epsilon_{t-1} \ge 0 </math>, and <math> I_{t-1} = 1 </math> if <math> ~\epsilon_{t-1} < 0 </math>.

===TGARCH model===

The Threshold GARCH (TGARCH) model by Zakoian (1994) is similar to GJR GARCH. The specification is one on conditional standard deviation instead of [[conditional variance]]:

<math>
~\sigma_t = K + ~\delta ~\sigma_{t-1} + ~\alpha_1^{+} ~\epsilon_{t-1}^{+} + ~\alpha_1^{-} ~\epsilon_{t-1}^{-}
</math>

where <math> ~\epsilon_{t-1}^{+} = ~\epsilon_{t-1} </math> if <math> ~\epsilon_{t-1} > 0 </math>, and <math> ~\epsilon_{t-1}^{+} = 0 </math> if <math> ~\epsilon_{t-1} \le 0 </math>. Likewise, <math> ~\epsilon_{t-1}^{-} = ~\epsilon_{t-1} </math> if <math> ~\epsilon_{t-1} \le 0 </math>, and <math> ~\epsilon_{t-1}^{-} = 0 </math> if <math> ~\epsilon_{t-1} > 0 </math>.

===fGARCH===

Hentschel's '''fGARCH''' model,<ref>{{cite journal |last=Hentschel |first=Ludger |year=1995 |title=All in the family Nesting symmetric and asymmetric GARCH models |journal=Journal of Financial Economics |volume=39 |issue=1 |pages=71–104 |doi=10.1016/0304-405X(94)00821-H |citeseerx=10.1.1.557.8941 }}</ref> also known as '''Family GARCH''', is an omnibus model that nests a variety of other popular symmetric and asymmetric GARCH models including APARCH, GJR, AVGARCH, NGARCH, etc.

===COGARCH===

In 2004, [[Claudia Klüppelberg]], Alexander Lindner and Ross Maller proposed a continuous-time generalization of the discrete-time GARCH(1,1) process. The idea is to start with the GARCH(1,1) model equations

:<math>\epsilon_t = \sigma_t z_t,</math>
:<math>\sigma_t^2 = \alpha_0 + \alpha_1 \epsilon^2_{t-1} + \beta_1 \sigma^2_{t-1} = \alpha_0 + \alpha_1 \sigma_{t-1}^2 z_{t-1}^2 + \beta_1 \sigma^2_{t-1}, </math>

and then to replace the strong white noise process <math> z_t </math> by the infinitesimal increments <math> \mathrm{d}L_t </math> of a [[Lévy process]] <math> (L_t)_{t\geq0} </math>, and the squared noise process <math> z^2_t </math> by the increments <math> \mathrm{d}[L,L]^\mathrm{d}_t </math>, where

:<math> [L,L]^\mathrm{d}_t = \sum_{s\in[0,t]} (\Delta L_t)^2,\quad t\geq0, </math>

is the purely discontinuous part of the [[quadratic variation]] process of <math> L </math>. The result is the following system of [[stochastic differential equations]]:

:<math>\mathrm{d}G_t = \sigma_{t-} \,\mathrm{d}L_t,</math>
:<math>\mathrm{d}\sigma_t^2 = (\beta - \eta \sigma^2_t)\,\mathrm{d}t + \varphi \sigma_{t-}^2 \,\mathrm{d}[L,L]^\mathrm{d}_t, </math>

where the positive parameters <math> \beta </math>, <math> \eta </math> and <math> \varphi </math> are determined by <math> \alpha_0 </math>, <math> \alpha_1 </math> and <math> \beta_1 </math>. Now given some initial condition <math> (G_0,\sigma^2_0) </math>, the system above has a pathwise unique solution <math> (G_t,\sigma^2_t)_{t\geq0} </math> which is then called the continuous-time GARCH ('''COGARCH''') model.<ref>{{cite journal |last1=Klüppelberg |first1=C.|author1-link= Claudia Klüppelberg |last2=Lindner |first2=A. |last3=Maller |first3=R. |year=2004 |title=A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour |journal=Journal of Applied Probability |volume=41 |issue=3 |pages=601–622 |doi=10.1239/jap/1091543413 |s2cid=17943198|url=http://nbn-resolving.de/urn:nbn:de:bvb:19-epub-1794-9|hdl=10419/31047 |hdl-access=free }}</ref>

===ZD-GARCH===

Unlike GARCH model, the Zero-Drift GARCH (ZD-GARCH) model by Li, Zhang, Zhu and Ling (2018) <ref name="ZD-GARCH 2018">{{cite journal | last1=Li|first1=D.|last2=Zhang|first2=X.|last3=Zhu|first3=K. |last4=Ling|first4=S. |year=2018 |title=The ZD-GARCH model: A new way to study heteroscedasticity |journal=[[Journal of Econometrics]] |volume=202 |issue=1 |pages=1–17|doi=10.1016/j.jeconom.2017.09.003 |url=https://mpra.ub.uni-muenchen.de/68621/1/MPRA_paper_68621.pdf}}</ref> lets the drift term <math> ~\omega= 0 </math> in the first order GARCH model. The ZD-GARCH model is to model <math> ~\epsilon_t = ~\sigma_t z_t </math>, where <math> z_t </math> is i.i.d., and

<math>
~\sigma_t^2 = ~\alpha_{1} ~\epsilon_{t-1}^2 + ~\beta_{1} ~\sigma_{t-1}^2.
</math>

The ZD-GARCH model does not require <math> ~\alpha_{1} + ~\beta_{1}= 1 </math>, and hence it nests the [[Exponentially weighted moving average]] (EWMA) model in "[[RiskMetrics]]". Since the drift term <math> ~\omega= 0 </math>, the ZD-GARCH model is always non-stationary, and its statistical inference methods are quite different from those for the classical GARCH model. Based on the historical data, the parameters <math> ~\alpha_{1} </math> and <math> ~\beta_{1} </math> can be estimated by the generalized [[QMLE]] method.

===Spatial GARCH===

Spatial GARCH processes by Otto, Schmid and Garthoff (2018) <ref name="spGARCH 2018">{{cite journal | last1=Otto|first1=P.|last2=Schmid|first2=W.|last3=Garthoff|first3=R. |year=2018 |title=Generalised spatial and spatiotemporal autoregressive conditional heteroscedasticity |journal=[[Spatial Statistics]] |volume=26 |issue=1 |pages=125–145|doi=10.1016/j.spasta.2018.07.005 |s2cid=88521485|arxiv=1609.00711|bibcode=2018SpaSt..26..125O }}</ref> are considered as the spatial equivalent to the temporal generalized autoregressive conditional heteroscedasticity (GARCH) models. In contrast to the temporal ARCH model, in which the distribution is known given the full information set for the prior periods, the distribution is not straightforward in the spatial and spatiotemporal setting due to the interdependence between neighboring spatial locations. The spatial model is given by <math> ~\epsilon(s_i) = ~\sigma(s_i) z(s_i) </math> and

:<math>
~\sigma(s_i)^2 = ~\alpha_i + \sum_{v=1}^{n} \rho w_{iv} \epsilon(s_v)^2,
</math>

where <math> ~s_i</math> denotes the <math> i</math>-th spatial location and <math> ~w_{iv}</math> refers to the <math> iv</math>-th entry of a spatial weight matrix and <math> w_{ii}=0</math> for <math>~i = 1, ..., n </math>. The spatial weight matrix defines which locations are considered to be adjacent.

==Gaussian process-driven GARCH==
In a different vein, the machine learning community has proposed the use of Gaussian process regression models to obtain a GARCH scheme.<ref name="platanios">{{cite journal | last1=Platanios|first1=E.|last2=Chatzis|first2=S. |year=2014 |title=Gaussian process-mixture conditional heteroscedasticity |journal=[[IEEE Transactions on Pattern Analysis and Machine Intelligence]] |volume=36 |issue=5 |pages=889–900|doi=10.1109/TPAMI.2013.183|pmid=26353224|arxiv=1211.4410|s2cid=10424638}}</ref> This results in a nonparametric modelling scheme, which allows for: (i) advanced robustness to overfitting, since the model marginalises over its parameters to perform inference, under a Bayesian inference rationale; and (ii) capturing highly-nonlinear dependencies without increasing model complexity.{{cn|date=September 2021}}

==References==
{{Reflist}}

==Further reading==
*{{cite book | last1=Bollerslev | first1=Tim | last2=Russell | first2=Jeffrey | last3=Watson | first3=Mark | title=Volatility and Time Series Econometrics: Essays in Honor of Robert Engle | date=May 2010 | publisher=Oxford University Press | location=Oxford | isbn=9780199549498 | pages=137–163 | edition=1st | chapter=Chapter 8: Glossary to ARCH (GARCH) | chapter-url=http://public.econ.duke.edu/~boller/Published_Papers/glossary_10.pdf }}
*{{cite book |last=Enders |first=W. |year=2004  |chapter=Modelling Volatility |title=Applied Econometrics Time Series |publisher=John-Wiley & Sons |edition=Second |pages=108–155 |isbn=978-0-471-45173-0 }}
*{{cite journal |author-link=Robert F. Engle |last=Engle |first=Robert F. |year=1982 |title=Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation |journal=[[Econometrica]] |volume=50 |issue=4 |pages=987–1008 |jstor=1912773 |doi=10.2307/1912773 |s2cid=18673159 }} ''(the paper which sparked the general interest in ARCH models)''
*{{cite book |last=Engle |first=Robert F. |year=1995 |title=ARCH: selected readings |publisher=Oxford University Press |isbn=978-0-19-877432-7 }}
*{{cite journal |last=Engle |first=Robert F. |year=2001 |title=GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics |journal=[[Journal of Economic Perspectives]] |volume=15 |issue=4 |pages=157–168 |jstor=2696523 |doi=10.1257/jep.15.4.157|url=http://www.aeaweb.org/articles.php?doi=10.1257/jep.15.4.157 }} ''(a short, readable introduction)''
*{{cite book |last=Gujarati |first=D. N. |year=2003 |title=Basic Econometrics |pages=856–862 }}
*{{cite journal |last1=Hacker |first1=R. S. |last2=Hatemi-J |first2=A. |year=2005 |title=A Test for Multivariate ARCH Effects |journal=Applied Economics Letters |volume=12 |issue=7 |pages=411–417 |url=https://ideas.repec.org/a/taf/apeclt/v12y2005i7p411-417.html |doi=10.1080/13504850500092129 |s2cid=218639533 }}
*{{cite journal |last=Nelson |first=D. B. |year=1991 |title=Conditional Heteroskedasticity in Asset Returns: A New Approach |journal=[[Econometrica]] |volume=59 |issue=2 |pages=347–370 |jstor=2938260 |doi=10.2307/2938260 }}

{{Statistics|analysis}}
{{Stochastic processes}}
{{Volatility}}

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[[Category:Nonlinear time series analysis]]
[[Category:Autocorrelation]]