Journal of the Japan Statistical Society, Japanese Issue
Online ISSN : 2189-1478
Print ISSN : 0389-5602
ISSN-L : 0389-5602
THE ARCH MODEL: ITS INTRODUCTION AND AN ANALYSIS OF TIME-VARYING RISK PREMIUM
Yoshihisa Baba
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1990 Volume 20 Issue 2 Pages 217-226

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Abstract
The present paper gives a brief explanation of the Autoregressive Conditional Heteroscedasticity (ARCH) model and its extensions. It also discusses the estimation and hypothesis testing procedures of these models. The ARCH model is applied to estimate time-varying risk premium of a long term bond in the U. S.
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