The generalized autoregressive conditional heteroskedasticity (GARCH) process is an econometric term used to describe an approach to estimate volatility in financial markets.

The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against ...

This article examines the persistence of the variance, as measured by the generalized auto-regressive conditional heteroskedasticity (GARCH) model, in stock-return data. In particular, we investigate ...