期刊
JOURNAL OF ECONOMIC PERSPECTIVES
卷 15, 期 4, 页码 157-168出版社
AMER ECONOMIC ASSOC
DOI: 10.1257/jep.15.4.157
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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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