GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
这篇论文解释了最简单的GARCH模型的原理，并展示了它在分析投资组合风险中的用处，适合想了解波动率预测的金融或经济学研究者快速入门。
ARCH and GARCH models have become important tools in the analysis of time series data, particularly in financial applications. These models are especially useful when the goal of the study is to analyze and forecast volatility. This paper gives the motivation behind the simplest GARCH model and illustrates its usefulness in examining portfolio risk. Extensions are briefly discussed.