Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · 1986 · Journal of Econometrics

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GARCH(1,1): volatility clusters and mean-reverts. The baseline volatility model.

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Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: LFT
Data needed: Daily bars Set what data you have
Themes: Options & volatility Risk & portfolio
Assets: Equities
Market: Global

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Cite

@article{bollerslev1986generalized,
  author = {Bollerslev, Tim},
  title = {{Generalized autoregressive conditional heteroskedasticity}},
  journal = {Journal of Econometrics},
  year = {1986},
  doi = {10.1016/0304-4076(86)90063-1}
}

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics. https://doi.org/10.1016/0304-4076(86)90063-1