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Quality Technology & Quantitative Management Volume 1, 2004 - Issue 2
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Original Articles

Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review

Stavros DegiannakisDepartment of Statistics, Athens University of Economics and Business, GreeceView further author information
&
Evdokia XekalakiDepartment of Statistics, Athens University of Economics and Business, Greece and Department of Statistics, Trinity College, Dublin, IrelandView further author information
Pages 271-324 | Received 01 Jan 2003, Accepted 01 Dec 2003, Published online: 09 Feb 2016

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Marta Regis, Paulo Serra & Edwin R. van den Heuvel. (2022) Random autoregressive models: A structured overview. Econometric Reviews 41:2, pages 207-230.
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Stavros Degiannakis, Alexandra Livada & Epaminondas Panas. (2008) Rolling-sampled parameters of ARCH and Levy-stable models. Applied Economics 40:23, pages 3051-3067.
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Twm Evans & David G. McMillan. (2007) Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence. Applied Financial Economics 17:17, pages 1421-1430.
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Stavros Degiannakis & Evdokia Xekalaki. (2007) Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models. Applied Financial Economics 17:2, pages 149-171.
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Stavros Degiannakis & Evdokia Xekalaki. (2007) Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes. Applied Financial Economics Letters 3:1, pages 31-37.
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Stavros Degiannakis . (2004) Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model. Applied Financial Economics 14:18, pages 1333-1342.
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Raed Alzghool & Loai M. Al-Zubi. (2018) Semi-parametric estimation for ARCH models. Alexandria Engineering Journal 57:1, pages 367-373.
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Remzi Uctum, Patricia Renou‐Maissant, Georges Prat & Sylvie Lecarpentier‐Moyal. (2017) Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data. Review of Financial Economics 35:1, pages 43-56.
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Melike Bildirici & Özgür Ersin. (2016) Markov Switching Artificial Neural Networks for Modelling and Forecasting Volatility: An Application to Gold Market. Procedia Economics and Finance 38, pages 106-121.
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Eduardo Rossi & Filippo Spazzini. 2014. Handbook of Multi‐Commodity Markets and Products. Handbook of Multi‐Commodity Markets and Products 687 753 .
Sandra C. Oliveira & Marinho G. Andrade. (2012) Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series. Pesquisa Operacional 32:2, pages 293-313.
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MARINHO G. ANDRADE & SANDRA C. OLIVEIRA. (2011) A COMPARATIVE STUDY OF BAYESIAN AND MAXIMUM LIKELIHOOD APPROACHES FOR ARCH MODELS WITH EVIDENCE FROM BRAZILIAN FINANCIAL SERIES. New Mathematics and Natural Computation 07:02, pages 347-361.
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Evdokia Xekalaki & Stavros Degiannakis. 2010. ARCH Models for Financial Applications. ARCH Models for Financial Applications 479 520 .
Timotheos Angelidis & Stavros Degiannakis. (2008) Forecasting one‐day‐ahead VaR and intra‐day realized volatility in the Athens Stock Exchange Market. Managerial Finance 34:7, pages 489-497.
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David G. McMillan & Raquel Quiroga Garcia. (2008) Efficiency of the IBEX spot–futures basis: The impact of the mini-futures. Journal of Futures Markets 28:4, pages 398-415.
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Zhibiao Zhao. (2008) Parametric and nonparametric models and methods in financial econometrics. Statistics Surveys 2:none.
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Chin Wen Cheong, Abu Hassan Shaari Mohd Nor & Zaidi Isa. (2007) Asymmetry and long-memory volatility: Some empirical evidence using GARCH. Physica A: Statistical Mechanics and its Applications 373, pages 651-664.
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Charlie X. Cai, Robert W. Faff, David J. Hillier & Michael D. McKenzie. (2006) Modelling return and conditional volatility exposures in global stock markets. Review of Quantitative Finance and Accounting 27:2, pages 125-142.
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Timotheos Angelidis & Stavros Degiannakis. (2005) Modeling risk for long and short trading positions. The Journal of Risk Finance 6:3, pages 226-238.
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Evdokia Xekalaki & Stavros Degiannakis. (2005) Evaluating volatility forecasts in option pricing in the context of a simulated options market. Computational Statistics & Data Analysis 49:2, pages 611-629.
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Stavros Degiannakis & Evdokia Xekalaki. (2005) Predictability and model selection in the context of ARCH models. Applied Stochastic Models in Business and Industry 21:1, pages 55-82.
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Timotheos Angelidis, Alexandros Benos & Stavros Degiannakis. (2004) The use of GARCH models in VaR estimation. Statistical Methodology 1:1-2, pages 105-128.
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Stavros Antonios Degiannakis & Evdokia Xekalaki. (2005) On the Independence of the Standardized One-Step-Ahead Prediction Errors in ARCH Models. SSRN Electronic Journal.
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Timotheos Angelidis & Stavros Antonios Degiannakis. (2005) Volatility Forecasting: The Illusion of Choosing One Model in All Cases. SSRN Electronic Journal.
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Timotheos Angelidis & Stavros Antonios Degiannakis. (2004) VAR and Intraday Volatility Forecasting: The Case of the Athens Stock Exchange. SSRN Electronic Journal.
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Timotheos Angelidis & Stavros Antonios Degiannakis. (2005) Modeling Risk: VaR Methods for Long and Short Trading Positions. SSRN Electronic Journal.
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Melike Bildirici & Ozgur Omer Ersin. (2012) Markov Switching Artificial Neural Networks and Volatility Modeling with an Application to a Turkish Stock Index. SSRN Electronic Journal.
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Tim Bollerslev. (2008) Glossary to ARCH (GARCH). SSRN Electronic Journal.
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