Glossary to ARCH (GARCH*)
Tim Bollerslev · Oxford University Press eBooks · 2010
This chapter provides an alternative and easy-to-use encyclopedic-type reference guide to the long list of ARCH acronyms. Comparing the length of this list to the list of general Acronyms in Time Series Analysis (ATSA) compiled by Granger (1983) further underscores the scope of the research efforts and new developments that have occurred in the area following the introduction of the basic linear ARCH model in Engle (1982a).