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As self-study, I'm interested in learning about ARCH models and its extensions/variations, and I've been looking for journal-published articles about its possible real-life modeling and applications to get a hang of it. However, I've found little-to no articles that use linear univariate ARCH (q) models for their estimation (I've found a few regarding GARCH, ARCH-M, etc.)

Does anyone know (or can anyone recommend) some interesting journal articles that apply exclusively this model on real-life data (finance, economics, politics, society, or other subject), and that are easy to read and understand for a beginner like myself?

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At least, we have the original paper of Engle (1982, Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation), which includes an application that looks at the variance of UK inflation.

The ARCH(p) model, but more often a GARCH(1,1) model, is used as a benchmark in many papers that try to extend the original ARCH and GARCH framework. See e.g. the GARCH paper of Bollerslev (1986, Generalized autoregressive conditional heteroskedasticity).

However, you are right in the statement that ARCH(p) models rarely are applied as the only model. The GARCH(1,1) model is often considered a good benchmark model - the title of the this paper may explain why (2005, A forecast comparison of volatility models: does anything beat a GARCH(1,1)?).

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  • $\begingroup$ @RichardHardy Hope this is ok - is there a better way of doing it? $\endgroup$ – Johan Stax Jakobsen Sep 23 '18 at 20:36
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Introduction to (Generalized) Autoregressive Conditional Heteroskedasticity Models in Time Series Econometrics (Wong, 2014) is a good introduction to ARCH/GARCH models.

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