Adaptive GARCH estimator
Aggregation
contemporaneous
stability by
temporal
APARCH (asymmetric power ARCH)
ARCH effect test
ARCH(∞)
ARIMA
ARMA
autocorrelation
for squares of GARCH
identification
multivariate
identifiability
Asymmetries, see Leverage effect
Autocorrelation
empirical
partial
theoretical
Autocovariance
empirical
for squares of GARCH
multivariate
theoretical
Autoregressive moving average model, see
ARMA
Bahadur’s approach
Bartlett’s formula
generalized
BEKK GARCH
Black-Scholes formula
Causal, see Nonanticipative solution
CCC (constant conditional correlations) GARCH
estimation
stationarity
CLT (central limit theorem)
forα-mixing processes
for martingale differences
for martingale increments
for stationary martingale differences
Coefficient of determination
Corner method
DCC GARCH
Diagonal GARCH
Diffusions
EGARCH (exponential GARCH)
moments
stationarity
Ergodicity of stationary processes
Factor GARCH
BEKK representation
FF (full-factor) GARCH
FGLS
GARCH
semi-strong
strong
weak
GARCH(p, q)
definitions
identification
kurtosis
moments
prediction of the squares
second-order stationarity
strict stationarity
vector representation
GARCH-M
Geometric ergodicity, see Markov chain
GJR-GARCH
HAC (heteroscedasticity and autocorrelation consistent)
Heteroscedasticity
conditional
IGARCH(p, q)
Irreducibility, see Markov chain
Itô’s lemma
Kurtosis
Lagrange multiplier test
optimal
LAN (local asymptotic normality)
Least absolute deviations
weighted
Leptokurticity
Leverage effect
Likelihood ratio test
optimal
Linearly regular
Long-run variance
Lyapunov exponent
Markov chain
Martingale difference
Martingale increments, see Martingale difference
Mixing coefficients
ARCH(q)
ARCH(l)
GARCH(1,1)
ML for GARCH
asymptotic behavior
comparison with the QML
missspecification
one step estimator
News impact curve
Nonanticipative solution
O-GARCH (orthogonal GARCH)
OLS
asymptotic properties
constrained OLS
for GARCH(p, q)
Options
PC-GARCH, see O-GARCH
PC A (principal components analysis)
Persistence of shocks
Pitman’s approach
Portmanteau test
Purely nondeterministic
QGARCH (quadratic GARCH)
QML for ARCH nonstationarity
QML for ARMA-GARCH
asymptotic normality
consistency
QML for GARCH
asymptotic law at the boundary
asymptotic normality
consistency
non-Gaussian
optimality condition
Quasi-likelihood
Random walk
RiskMetrics
Score test, see Lagrange multiplier test
Self-weighted QMLE
Semi-parametric GARCH model
Stationarity
second order
multivariate
strict
Stochastic discount factor
Stochastic volatility model
Student’s t test
TGARCH (threshold GARCH)
stationarity
VaR (value at risk)
estimation
Vector GARCH
stationarity
Volatility
historical
implied
realized
Volatility clustering
Waldtest
optimal
Weighted least squares
White noise
multivariate
strong
weak
Whittle estimator
Wold’s representation
multivariate