Key features Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models
Numerous illustrations and applications to real financial series are provided
Presents a large collection of problems and exercises
Supporting website featuring R codes, Fortran programs and data sets
The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications
The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests
This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.