日本統計学会誌
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 年 20 巻 2 号 p. 217-226

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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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© Japan Statistical Society
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