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Generalized autoregressive conditional heteroscedasticity. (English) Zbl 0616.62119
A natural generalization of the ARCH (autoregressive conditional heteroscedastic) process inroduced by R. F. Engle [Econometrica 50, 987-1008 (1982; Zbl 0491.62099)] to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an empirical example relating to the uncertainty of the inflation rate is presented.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P20 Applications of statistics to economics
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