Generalized autoregressive conditional heteroskedasticity

References

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Robert F. Engle Econometrica Forecasting MethodologyVolatility ModelingEngineeringMacroeconomic ForecastingEconomic Fluctuation	1982	20.3K
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Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables L. G. Godfrey Econometrica Lagrange Multiplier ApproachEngineeringAgainst General AutoregressiveMacroeconomicsFinancial Time Series Analysis	1978	1.4K
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