Autoregressive conditional heteroskedasticity is a time-series statistical model used to analyze volatility in high frequency data.

We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure convergence of ARCH (1) and GARCH (1, 1) discrete-time models, to suggest an extension of the ARCH and ...

Liang Peng, Qiwei Yao, Least Absolute Deviations Estimation for ARCH and GARCH Models, Biometrika, Vol. 90, No. 4 (Dec., 2003), pp. 967-975 ...