This setting lets you change the way you view articles. You can choose to have articles open in a dialog window, a new tab, or directly in the same window.
Open in Dialog
Open in New Tab
Open in same window

Journal of Economic Perspectives: Vol. 15 No. 4 (Fall 2001)


Quick Tools:

Print Article Summary
Export Citation
Sign up for Email Alerts Follow us on Twitter


JEP - All Issues

GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

Article Citation

Engle, Robert. 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics." Journal of Economic Perspectives, 15(4): 157-168.

DOI: 10.1257/jep.15.4.157


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.

Article Full-Text Access

Full-text Article (Complimentary)


Engle, Robert (NYU and U CA, San Diego)

JEL Classifications

C22: Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions
C51: Model Construction and Estimation


View Comments on This Article (0) | Login to post a comment

Journal of Economic Perspectives

Quick Tools:

Sign up for Email Alerts

Follow us on Twitter

Subscription Information
(Institutional Administrator Access)


JEP - All Issues

Virtual Field Journals

AEA Member Login:

AEAweb | AEA Journals | Contact Us