R Engle 1982 (Nobel 2003) ARCH: sigma_t^2 = a0 + sum_{i=1}^q a_i eps_{t-i}^2; Bollerslev 1986 GARCH adds AR-sigma terms; basis of risk-management + VaR.
R Engle 1982 (Nobel 2003) ARCH: sigma_t^2 = a0 + sum_{i=1}^q a_i eps_{t-i}^2; Bollerslev 1986 GARCH adds AR-sigma terms; basis of risk-management + VaR.