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GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

✍ Scribed by Robert Engle


Book ID
121014174
Publisher
American Economic Association
Year
2001
Tongue
English
Weight
273 KB
Volume
15
Category
Article
ISSN
0895-3309

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## Abstract This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten‐year sample of five‐minute returns for the ECU basket currencies versus the US dollar, we find that the realized volatilities constructed from the summation of the