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  4. Fall 2001
  5. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

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

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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.

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

JEL Classification

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