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The document discusses the ARCH (Autoregressive Conditional Heteroskedasticity) model proposed by Engle (1982) to capture volatility persistence in financial markets. It was later extended to the GARCH (Generalized ARCH) model by Bollerslev (1986) to allow for additional dependencies on past conditional variances. The GARCH model is widely used but has been further developed into integrated GARCH, exponential GARCH, and other nonlinear forms to better fit empirical data and account for asymmetries like the

Author

Hảo Lương

Language

EN