GARCH Models: Structure, Statistical Inference and Financial Applications

Wiley, July 2010, ISBN: 978-0-470-68391-0.

Christian Francq and Jean-Michel Zakoļan
Description: This book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including EGARCH, TGARCH and APGARCH, volatility features such as asymmetries and financial applications. Many sections are based on up to date research, featured in econometric and statistic journals. GARCH models is accessible to a wide audience who have worked in time series analysis and wish to become familiar with the use and modeling techniques specially devoted to financial time series.
Table of Contents:
  • Preface
  • Notations
  1. Classical Time Series Models and Financial Series
  1. Univariate GARCH Models
    1. GARCH(p, q) Processes
    2. Mixing
    3. Temporal Aggregation and Weak GARCH Models
  2. Statistical Inference
    1. Identification
    2. LS Estimator of ARCH
    3. Estimating GARCH by QML
    4. Tests Based on the Likelihood
  3. Extensions and Applications
    1. Optimal Inference and Alternatives to the QMLE
    2. Asymmetries
    3. Multivariate GARCH
    4. Financial Applications
  4. Annexes
    1. Ergodicity, Martingale, Mixing
    2. Autocorrelation
    3. Solution to the Exercises
    4. Problems
  • References
  • Index
A book on GARCH