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

We suggest a sequential monitoring scheme to detect changes in the parameters of a GARCH (p,q) sequence. The procedure is based on quasi-likelihood scores and does not use model residuals. Unlike for ...

We examine the persistence of shocks to conditional variance in the GARCH (1,1) model, and show that whether these shocks "persist" or not depends crucially on the definition of persistence. We also ...