We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the ...

We construct efficient estimators of the identifiable parameters in a regression model when the errors follow a stationary parametric ARCH(P) process. We do not assume a functional form for the ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...