FIN-01-030

GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics

2001

Robert F. Engle

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.


Robert F. Engle
Institution: Stern School of Business, New York University, 44th West 4th Street, New York, NY 10012
Telephone: (212) 998-0710
Fax: (212) 995-4220
Email: rengle@stern.nyu.edu
Homepage:http://www.stern.nyu.edu/~rengle

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