Recent Theoretical Results for Time Series Models with GARCH Errors
面向实践者，综述了含GARCH误差的时间序列模型的最新理论结果，涵盖从简单ARCH到GARCH、非平稳ARMA-GARCH以及多种新型ARCH类模型。
This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA–GARCH are summarized. Various new ARCH–type models, including double threshold ARCH and GARCH, ARFIMA–GARCH, CHARMA and vector ARMA–GARCH, are also reviewed.