TY  - JOUR
AU  - Diebold,Francis X.
AU  - Lopez,Jose A.
TI  - Measuring Volatility Dynamics
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 173
PY  - 1995
Y2  - February 1995
UR  - http://www.nber.org/papers/t0173
L1  - http://www.nber.org/papers/t0173.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu
AB  - Recently there has been a great deal of interest in modeling volatility fluctuations.  ARCH models, for example, provide parsimonious approximations to volatility dynamics.  Here we provide a selective amount of certain aspects of conditional volatility modeling that are of particular relevance in macroeconomics and finance. First, we sketch the rudiments of a rather general univariate time- series model, allowing for dynamics in both the conditional mean and variance.  Second, we discuss both the economic and statistical motivation for the models, we characterize their properties, and we discuss issues related to estimation and testing.  Finally, we discuss a variety of applications and extensions of the basic models.
ER  -