Generalized autoregressive conditional heteroskedasticity
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I am grateful to David Hendry and Rob Engle for introducing me to this new idea, and to Rob Engle for many helpful discussions. I would also like to thank Sastry Pantula for suggesting the alternative parameterization, two anonymous referees for useful comments, and Kirsten Stentoft for typing the manuscript. The usual disclaimer applies.
Copyright © 1986 Published by Elsevier B.V.