Recent theoretical results for time series models with GARCH errors

Wai Keung LI, Shiqing LING, Michael MCALEER

Research output: Contribution to journalArticles

150 Citations (Scopus)

Abstract

This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA–GARCH are summarized. Various new ARCH–type models, including double threshold ARCH and GARCH, ARFIMA–GARCH, CHARMA and vector ARMA–GARCH, are also reviewed. Copyright © 2002 Blackwell Publishers Ltd.
Original languageEnglish
Pages (from-to)245-269
JournalJournal of Economic Surveys
Volume16
Issue number3
DOIs
Publication statusPublished - Jul 2002

Citation

Li, W. K., Ling, S., & McAleer, M. (2002). Recent theoretical results for time series models with GARCH errors. Journal of Economic Surveys, 16(3), 245-269. doi: 10.1111/1467-6419.00169

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