Conditional Heteroskedasticity in Asset Returns: A New Approach
提出指数ARCH模型，允许收益与波动率创新相关、无需参数不等式约束，并直观解释波动率冲击的持续性，应用于1962-1987年CRSP加权市场指数。
This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequality constraints on parameters, and (3) allows for a straightforward interpretation of the persistence of shocks to volatility. In the above respects, it is an improvement over the widely-used GARCH model. The model is applied to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987. Copyright 1991 by The Econometric Society.